The Study of Portfolio Performance of Political Cycle Effects in Taiwan Stock Market

[[abstract]]本篇論文將選舉前後的每一年之大盤指數報酬率做比較，發現大盤指數報酬率於大選前一年比大選後一年高，故台灣政治在股票市場上有『政治景氣循環』現象。本篇論文參照Piotroski（2000）的F_score創造A_score之投資策略，來探討報酬率是否優於大盤指數報酬率與F_score之報酬率。實證發現，A_score於每一期間之報酬率不隨大盤指數變動，且皆高於大盤指數及F_score報酬率，除了在1996年5月20日至2000年5月20日這段期間，其報酬率比F_score低，但依舊贏過大盤指數。最後探討在不同執政黨下的F_score與A_score投資產業分析，實證分析發現，F_score與A_score投資選股比重皆著重於電子工業、鋼鐵工業及建材營建，但A_score投資策略所選類股之平均報酬率皆贏過F_score。由此可知，選股不會應政黨不同而偏愛某一產業，且A_score選股策略更勝F_score。[[abstract]]This paper investigates if the political business cycle does exist in Taiwan at the beginning. We compare the rate of return on market before the presidential election with that after election, and find out that the rate of return on market is higher before the election than after the election. Thus, “the political business cycle” does exist in Taiwan’s stock market. We take the F_score from Piotroski (2000) for our reference to create a strategy, A_score, to discuss if the rate of return of A_score is better than the rate of return on market as well as rate of return of F_score. The empirical results shows that the rate of return of A_score doesn’t vary with rate of return on market for each period, and higher than both rate of return on market and that of F_score. Although the rate of return of A_score is lower than that of F_score from 5/20/1996 to 5/20/2000, it’s still higher than that on market for the whole period. Finally, we examine the investment proportion on industries from F_socre and A_score, and find out that the investment proportion on industries focus more on electronics, iron& steel and building materials construction from different party in power. Although the rate of return of A_score outperforms than that of F_score, and there is no significant change during different party in power