澳門博弈事業個股價格之假日效應研究

Abstract

本研究主要探討澳門博弈事業個股股價是否存在假日效應。本文利用GARCH模型並納入虛擬變數以檢測以檢測自2008年1月至2013年12月澳門六家得到官方允許從事博弈事業公司之調整後股價是否有假日效應；此六家公司分別為銀河娛樂集團有限公司，新濠國際發展有限公司，澳門博彩控股有限公司，永利澳門有限公司，金沙中國有限公司和美高美中國控股有限公司。 實證結果發現：銀河娛樂集團有限公司沒有任何假前或假後效應，永利澳門有限公司和美高美中國控股有限公司只有假前效應，金沙中國有限公司擁有假後效應，而新濠國際發展有限公司及澳門博彩控股有限公司同時擁有假前和假後效應。 接著分別針對個別公司來探討假日效應，發現各家公司的假前與假後效應並不盡相同。最後，因為在澳門股在香港交易所上市，因此我們將節日分為香港節日與澳門節日兩類來比較假日效應差異，我們探討哪些區域具有更大的影響力，發現相較於上市地點香港，澳門的節日擁有較大的影響力。

The holiday effects in stock market have been widely studied in previous literature. However, the reason of holiday effect has not yet received common explanation among scholars. The paper examines excess returns and volatilities of six companies (Galaxy Entertainment, Melco International Development Ltd., SJM Holdings Ltd., Wynn Macau Ltd., Sands China Ltd. and MGM China Holdings Ltd.) in gaming industry in Macau from January 2008 to December 2013 by GARCH model. First, empirical results show that during pre- and post-holiday, Galaxy Entertainment does not have any pre- or post-holiday effect, Wynn Macau Ltd. and MGM China Holdings Ltd. only have pre-holiday effect, Sands China Ltd. has post-holiday effect, and Melco International Development Ltd. and SJM Holdings Ltd. have both pre- and post-holiday effect. Next, we separate the holiday to identify which holiday have more influence and find that each company has different holiday’s holiday effect. Finally, because the stock in Macau is listed on Hong Kong exchange, we explore which region has more influence and find that Macau has more impact than Hong Kong on stocks prices of companies based in Macau. This research suggests a new investing strategy for investors in Taiwan who want to invest the gaming industry in Macau.