隨著人工智慧（Artificial Intelligence, AI）技術的演進，其應用已逐步改變產業結構與全球經濟體系。自OpenAI推出ChatGPT以來，生成式AI掀起技術創新浪潮，帶動雲端運算與資料中心的基礎建設持續擴張，促使資本市場對AI相關企業的投資熱度不斷升溫。在此背景下，本研究以人工智慧主題型指數為研究對象，探討其是否具備穩定的超額報酬，並檢視AI產業是否受到美國總統政黨輪替之政策影響。
本研究使用Fama-French (2015)五因子模型(Five-factor model)以及動能因子組合成的六因子資產定價模型探討美國Nasdaq CTA Artificial Intelligence Index（NQINTEL）與德國BlueStar Artificial Intelligence Index（BAIPR）指數的績效，並分析在不同政黨下的超額報酬，同時也分析二項指數的共同成分股：Alphabet Inc.、Microsoft Corporation、NVIDIA Corporation之績效。研究結果顯示，二項AI指數在研究期間都沒有超額報酬率，但NQINTEL指數在共和黨唐納·川普執政期間具有超額報酬，其表現顯著優於民主黨喬·拜登執政期間。此外，指數中的核心成分股Alphabet Inc.在研究期間沒有超額報酬率，而Microsoft Corporation、NVIDIA Corporation則分別在不同的政黨執政期間有超額報酬。

With the rapid advancement of Artificial Intelligence (AI) technologies, its applications have transformed industrial structures and global economic systems. The release of ChatGPT by OpenAI marked a new era of generative AI, triggering an international wave of innovation that has fueled the expansion of cloud infrastructure and data centers. Consequently, investment interest in AI-related enterprises has grown rapidly in capital markets. Against this backdrop, this study investigates whether AI indices demonstrate consistent abnormal returns and whether the development of the AI industry is influenced by the political cycle of U.S. presidential administrations.
This study employs the Fama-French (2015) five-factor model, augmented with a momentum factor to form a six-factor asset pricing model, to evaluate the performance of the Nasdaq CTA Artificial Intelligence Index (NQINTEL) in the United States and the BlueStar Artificial Intelligence Index (BAIPR) in Germany. It evaluates abnormal returns under different political administrations and further examines the performance of three common stocks of AI indexes—Alphabet Inc., Microsoft Corporation, and NVIDIA Corporation. The results indicate that neither AI index achieved abnormal returns over the study period; however, the NQINTEL index did generate abnormal returns during the Republican administration of Donald Trump, significantly outperforming its performance under the Democratic administration of Joe Biden. Additionally, while Alphabet Inc. did not have abnormal returns during the study period, Microsoft Corporation and NVIDIA Corporation achieved abnormal returns under different political administrations, respectively.

中文文獻：
1.吳孟庭(2022)「評估指數股票型基金之績效-納入ESG觀點」，東海大學經濟學系碩士班碩士論文。
2.余泓泰(2024)「人工智慧ETF投資策略的績效分析」，亞洲大學財務金融學系碩士班碩士論文。
3.陳品勳(2024)「AI 類股、美股大盤及能源期貨價格關聯性之探討」，朝陽科技大學保險金融管理系碩士班碩士論文。

英文文獻：
Potrykus, M. (2024). Dot-com and AI bubbles: Can data from the past be helpful to match the price bubble euphoria phase using dynamic time warping?. Finance Research Letters, 67, 105799.