This paper explores the variations in stock returns in Taiwan from 1991 to 2023. The study provides a news-based measure of geopolitical events. In particular, the present study investigates the impact of the geopolitical risk and favorable geopolitical event on the stock market in Taiwan. We find that the macroeconomic factors, such as exchange rate and inflation rate, are the main driving forces in stock return dynamics. The favorable geopolitical index is linked with stock return in Tourism. Adverse geopolitical index provides useful information for predicting the dynamics of stock return in Semiconductor.