摘要(英) |
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. |
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