本文利用1963年11月22日至2001年1月19日間，道瓊工業加權股價指數日資料，藉由AR (3) -EGARCH (1，1) 模型來探討政黨輪替與美股大崩盤對美國股市價格變動與波動性的影響。此外，並嘗試利用組織行為中主管更遠後組織績效理論，解釋美國政黨輪替對道瓊股價變動的實證結果。本研究發現，美國的政黨輪替對於道瓊股價變動顯著變小，但對股價變動波動性則呈無顯著關係。1987年股市大崩盤對於道瓊股價變動亦無顯著關係'但對於變動波動性卻顯著變大。此外，美國的政黨輪替在美股大崩盤後對道瓊股價變動呈現顯著性增大，但政黨輪替在美股大崩盤後對波動性的影響卻呈顯著變小。本文實證對1987年股市大崩盤前，傾向支持組織行為主管更迭理論中的惡性循環理論。在1987年美股大崩盤後，則傾向支持常識理論。
This paper deals with the effects of the political party change and the 1987 crash on the stock price changes and volatility by the AR (3)-EGARCH (1, 1) model. The sample data are Dow-Jones Industrial Average daily data from April 12, 1945 to January 19, 2001, and the performance of management change in the organization behavior theory is used to explain the empirical findings of the paper. The empirical work finds that there is significantly negative relation between the political party change and the stock price change in America, and nonsignificantly relation between the political party change and the volatility of the price change. The 1987 crash does not significantly affect the stock price change, but the volatility of price change decreases significantly. Additionally, The effects of political party change posterior to the 1987 crash on the stock price change is significantly more than the ones prior to the 1987 crash, but the 1987 crash on the volatility is significantly less than the ones prior to the 1987 crash. The findings tend to uphold the vicious cycle theory at the period of the pre-crash, and to uphold the common sense theory at the period of the post-crash.
