The forecast on political events with stock prices and trading volumes: Evidence from Taiwan Stock Exchange

• Main Author: 洪敏豪
• Other Authors: 周冠男
• Format: Others
• Language: en_US
• Published: 2016
• Online Access: http://ndltd.ncl.edu.tw/handle/euv2zj

碩士 === 國立政治大學 === 財務管理研究所 === 104 === This paper analyzes the last four political events, which includes KMT's Taipei Mayoral Primary, Taipei Mayor Election, KMT Presidential Candidate Replacement and Taiwan Presidential Election. We use trading volume to detect whether investors join the market due to potential political investment opportunity. Then we examine the CAR tendency with the political event results to identify its forecast ability. Last, we detect CAR within 5 days later to find if investor overreact or underreact before the event day. We find that the CAR meets voters’ political anticipation before the event window. Investors believe they can time the market through these events and gain profit. Furthermore, stocks relevant to those elects experience positive CAR. In contrast, stocks relevant to those also-rans do not experience significant returns. The only fortuneteller is the company, which has close relationship to the defeated candidate, telling with negative CAR. Because of short-sale constrains, the trading volume are not larger than before even it is a good chance to gain profit in the political events.