本文首先建構台灣經濟政策不確定性(EPU)指數，採用滾動窗口的迴歸估計EPU係數(EPU Beta)並以此形成投資組合，檢測其對於股票市場的影響及該策略之績效表現。研究結果表明：首先，EPU指數與股市報酬具有顯著相關性；其次EPU能捕捉到有別於市場不確定性之信息，且對外銷比例高的產業影響較為強勁；再者，EPU Beta形成的投資組合異常報酬無法被因子模型解釋；最後，使用不同國家EPU指數估計Beta，發現有效的只有本文建構的EPU指數。

Constructing the Taiwan's economic policy uncertainty (EPU) index, the purpose of this paper is to test its impact on the stock market and the performance of the strategy based on the EPU loadings. The results show that, first, the EPU index has a significant correlation with stock market returns. Second, EPU and market uncertainty capture different information respectively, and EPU has a strong sensitivity on industries with high export proportions. Third, the abnormal return of portfolio formed by EPU loadings cannot be explained by factor model. Finally, we use the EPU index of different countries to estimate beta and find that only our EPU index is effective.

摘要 ii
Abstract iii
第一章 緒論 1
第一節 研究背景與動機 1
第二節 研究架構與本文架構 2
第二章 文獻探討 5
第一節 EPU與股價報酬 5
第二節 EPU Beta相關文獻 5
第三章 研究方法 7
第一節 資料來源 7
第二節 變數衡量 8
（一） 台灣經濟政策不確定性衡量 8
（二） 市場不確定性衡量 8
（三） EPU Beta的衡量 8
第三節 研究程序 8
第四章 實證分析 11
第一節 各國EPU間的敘述性統計及相關性 11
第二節 面板迴歸分析 14
第三節 投資組合及特徵值分析 16
第四節 因子時間序列迴歸分析 18
第五節 穩健性檢驗—不同EPU下的異常報酬 19
第五章 結論 23
參考文獻 24

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