長期政治資訊對股市報酬與風險之實證分析—以馬來西亞股市為例

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Please use this identifier to cite or link to this item: https://irlib.pccu.edu.tw/handle/987654321/40431

Title:	長期政治資訊對股市報酬與風險之實證分析—以馬來西亞股市為例 An Empirical Analysis of Long- Term Political Information on Stock Market Returns and Risks: A Case Study of Malaysia Stock Market
Authors:	李家偉
Contributors:	財務金融學系
Keywords:	馬來西亞國會開會 GARCH 波動性 Malaysia congressional session GARCH volatility
Date:	2018
Issue Date:	2018-07-31 14:59:36 (UTC+8)
Abstract:	自馬來西亞獨立以來，雖國會由各政黨所組成，但國家政權長年處於一黨獨大的狀態。各政黨秉持不同的理念，當國會開會時，各政黨在協調過程中會產生折衝之情形，亦會對市場造成更多的衝擊及不確定性。本文利用不對稱GARCH模型，探討2000年1月3日至2017年12月29日間馬來西亞國會開會或休會效果對吉隆坡綜合指數(KLCI)報酬與波動之長期影響。本研究首先利用GARCH模型探討國會會議事件對股票報酬及波動之影響。再納入2008年金融海嘯，並觀察在金融海嘯與國會開會樣本之交互作用項對股票市場之報酬及波動的影響。 In this paper, we using the asymmetric GARCH model to investigate the long-term impact of Malaysia’s political behavior (the effect of the parliamentary session) on the return and volatility of the stock market. This study uses the Malaysia Kuala Lumpur Composite Index (KLCI) as the observation period, from January 3, 2000 to December 29, 2017. And in response to the 5th parliamentary session in Malaysia to discuss the impact of meeting events on the return of the stock market based on the market model. First, using ARCH model to compare the Malaysia Composite Index and the Con-gress conference period whether the stock market have abnormal returns. Next, we use GARCH model to explore the impact of congressional conference on return and volatili-ty. In addition, we also included the 2008 financial crash into the sample period and ob-served the return and volatility in the stock market during the parliamentary sessions and adjournments.
Appears in Collections:	[Department of Banking & Finance ] Thesis

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