臺灣地區上市營建類個股股價之節日效應

Abstract

節日效應為日曆效應(calendar effect)的其中一種。日曆效應是指股價報酬在某特定的日期、月份或期間而出現規則性變化的現象。依照日曆效應的邏輯而衍生出以下理論如節日效應、星期效應(day of the week effect)、換月效應(turn of the month effect)、月份效應(monthly effect)、月內效應(within-month effect)等。過往國內外文獻已針對此現象多有研究，但對節日效應的成因仍未有共識。 本文研究自2001年1月1日起至2014年12月31日止臺灣上市營建類個股股價報酬率在節日前、後一個交易日是否有異常波動現象，包含股價異常報酬率與異常變異性。首先將所有節日一起觀察在特定個股上是否有節日效應，並將節日分成國內節日與國外節日兩類分別觀察，結果顯示有節日效應產生，但占所有觀察個股中的比例約在15% - 30%。接著分別針對每個節日比較，發現不同節日引發效應的比例有不同的差距，又以農曆新年有最多比例的個股產生節日效應，符合先前文獻的結論。最後觀察到若干個股在節日前後確實有波動不對稱的現象。

The holiday effect is one kind of calendar effect. The calendar effect means that the stock return may have some abnormal variations at a specific date, month, or period. It has been categorized into different theories such as holiday effect, day of the week effect, turn of the month effect, monthly effect, and within-month effect, etc. Although many scholars have been working on studying these effects, but the reason still reach no consensus yet. The paper examines whether there are abnormal returns and volatilities of each individual stock for the listed companies in building material and construction category in Taiwan one day before and after specific holidays from 2001/1/1 to 2014/12/31 by ARMA-GARCH model. We first put all the chosen holidays together to examine the effect, and the empirical result shows that about 15%-30% of all the 38 individual stocks have significant effect. We then examine each chosen holidays and the empirical result shows that there are different significant proportion of all 38 individual stocks between different holidays, especially that the Chinese New Year has the highest significant proportion, which is consistent with previous studies. Some individual stocks have asymmetric volatility effects.