本文是分析自2000年初到2020年底發生了總計7次的護盤政策，這項政策對於臺灣加權指數的影響。透過不同的方法來檢測護盤政策的效果，首先使用OLS分析護盤政策的平均效果，以及是否具有外溢效果，再來是使用ARIMA來檢測政策是否能有顯著的正面衝擊，也就是能否讓指數止跌回升，最後則是使用隨機優越來檢測護盤期間的風險是否有變小。本文發現護盤期間的平均日報酬有顯著高於護盤前0.49%，而政策也具有外溢效果，並不是在國安基金所購買的股票才會有影響，在ARIMA的結果，本文發現政策除了能夠緩止住市場的快速下跌，有時候能夠有顯著的正面衝擊，讓市場止跌回升，最後在隨機優越上的結果也是發現大部分的時候護盤期間的風險有比護盤前期間還要小。總結所有結果，本文認為當重大負面事件發生時，政府的護盤政策是能夠有效穩定金融市場。;This paper analyzes the effect of stabilization policy on Taiwan capitalization weighted stock index which has occurred 7 times from the beginning of 2000 to the end of 2020. By using different methods to detect the effect of the stabilization policy. First, we use OLS to analyze the average effect of the stabilization policy and whether it has spillover effects. Then, using ARIMA to detect whether the policy can have a significant positive impact, that is, whether the policy can have a significant positive impact which can let the index stop falling and rebound, and finally use the stochastic dominance to detect whether the risk during the support period has decreased. We find that the average daily return during the policy period is significantly higher than 0.49% before the policy started, and the policy do have a spillover effect. It is not only the stocks purchased by the stabilization fund that will have the positive effect. According to the results of ARIMA, we find that the policy can not only slow decline, sometimes there can be a significant positive impact, allowing the market to stop falling and rebound. Finally, the result of the stochastic dominance is that most of the time the risk during the policy period is smaller than the period before the government’s intervention. Summarizing all the results, there are some evidences when a significant negative event occurs, the government′s policy to intervene the market can effectively stabilize the financial market.
