Political Cycle Effects in Taiwan OTC Market and Industry Returns

[[abstract]]自政治性景氣循環被提出以來，至今未能有財務理論可以有效地解釋此一著名的市場現象。若股票市場符合效率市場假說，政治性循環效果理應不存在。本研究以臺灣上櫃市場為研究對象，觀察政治性循環效果是否存在於臺灣股票市場中。結果顯示，在兩政黨執第一年的股票市場，國民黨相較民進黨有顯著較佳的超額報酬。然而，考慮以CAPM模型和風險三因子模型修正後的產業超額報酬，本研究並無發現政治性循環效果存在於產業的證據。因此，本研究推論政治性景氣循環應僅為市場面的現象，無法以產業面的影響解釋之。[[abstract]]Since political business cycle had been documented in the literature so far financial theory fails to explain this well-known market phenomenon effectively If stock market follows the efficient market hypothesis political cycle effects should not exist in the market We investigate the political cycle effects by observing Taiwan OTC stock market Through the empirical data we find relative outperformance for the stock market of the first year of an administration under Chinese Nationalist Party than Democratic Progressive Party However after correcting industry returns for the CAPM or the Fama-French three factor models we find no evidence of the well known political effects documented for industry returns in Taiwan Therefore we suggest political cycle effects are only market wide phenomena and can not be explain by the impact from industry return