以分量迴歸模型探討川普當選美國總統對股票市場報酬之影響

Abstract

股票價格為經濟市場之領先指標，反應對未來經濟前景之預期。臺灣之股票市場為淺碟型市場，受政治、經濟等外來事件影響甚劇。 2016年川普當選美國總統後，提出一系列減稅及貿易保護等經濟政策主張，並透過社群平台推特（Twitter）發表其治國理念及政策，投資大眾因心理反應影響其投資決策，使得股票市場大幅震盪，未來全球經濟充滿不可預測性。 為瞭解川普推特對股票市場之影響，本研究整理川普推特每日發文篇數，並透過分量迴歸法及Toda-Yamamoto因果關係分析其與股票市場指數之關聯性。 研究發現，川普之推特發文確實與股票市場指數存在顯著之因果關係，當股票指數偏低時，投資者易受社群媒體情緒之影響，投資者可藉此評估是否使股價產生異常報酬，作為投資決策之判斷準則之一。

Stock price is leading indicator of the economic market, reflecting the expectations of the future economic outlook. Taiwan's stock market is a thin market, which is After Trump was elected the U.S. President in 2016, he proposed a series of economic policies, including tax cuts and trade protections. Besides, Trump likes to posted his ideas and policies through Twitter, in which investors reacted psychologically to influence their investment decisions, causing stock markets into a big swing and full of unpredictable. In order to understand the impact of Trump’s tweets on the stock market, this study collects the daily number of Trump tweets, and analyzes their relevance to stock market index through Quantile Regression and Toda-Yamamoto causality test methodology. When the stock index is low, investors are vulnerable to social media sentiment. Investors can use this to assess whether the stock price will generate abnormal returns as one of the criteria for making investment decisions.