海峽兩岸網路平台股價異常變異之假日效果

Abstract

本研究主要探討中國大陸與台灣上市櫃網路平台是否存在假日效果。本文將假日之虛擬變數納入GARCH模型當中，調查自網路平台上市櫃起至2017年2月底中國大陸以及台灣網路平台產業各報酬率在假日前與假日後是否有異常報酬與異常變異的現象，探討網路平台產業是否存在假日效果。實證結果發現中國大陸與台灣無論在假日前與假日後皆存在假日效果，兩岸在異常報酬部分顯著比例皆不高，而中國大陸網路平台之正向異常變異在假日前顯著比例較高，在假日後負向異常變異顯著比例較高。台灣網路平台在假日前完全呈現負向異常變異，假日後負向異常變異多但有少許正向異常變異存在。本研究也將將節日分門別類進行討論，首先探討放假日對網路平台的影響，發現中國大陸網路平台與台灣網路平台均受放假日影響較深，接著探討不同性質的假日效果，發現中國大陸網路平台受傳統文化節日影響較大，台灣則在法定紀念日顯著比例較高。

This study focuses on the existence of holiday effects on Internet platform industry in Taiwan and Mainland China. The dummy variables standing for holiday events were included in GARCH model, in order to test the abnormal return and abnormal volatility before and after holiday from the company listed at stock exchange market or over-the-counter market time to February 2017. Empirical results show that Internet platform industries in Taiwan and Mainland China both have pre- and post-holiday effect. Stock prices of Internet platforms in Mainland China have more positive volatilities before holidays, and more negative volatilities after holidays. Stock prices of Internet platforms in Taiwan com up with all lower volatility before holidays and more higher volatilities after holidays. We then further categorize holidays into different groups: Off holidays significantly affect the stock price variance of Internet platform industry in Taiwan and Mainland China. Cultural holidays have more significant impacts on stock prices of Internet platform industry in Mainland China while state holidays have more significant effects on those in Taiwan.