節日效應對台灣觀光業股價異常報酬與異常波動之影響研究

Abstract

節日效應指的是股票報酬率及波動在節日來臨前、後會出現顯著變化的情形，由於過去研究多證實節日前交易日的報酬率會顯著高於一般交易日，因此常又被稱為節日前效應，過往國內外文獻已針對此現象多有研究，卻較少針對單一產業的節日效應作探討。 本研究利用ARMA-GARCH模型，探討自2003年1月1日到2016年12月31日的台灣觀光類股股價在節日前、後三個交易日是否存在異常報酬及異常變異的情形，從整體的節日效應到針對個別節日及不同類型、長短的節日作分析，最後更加入中國節日探討中國旅客對台灣觀光類股節日效應之影響，整體而言，節日的慶祝行情不存在於台灣觀光類股，甚至在節日前後投資人的態度會趨於保守。

Holiday effect is a calendar anomaly. It refers to the tendency that the approaching of the holidays will influence stock price and occur abnormal returns and volatility. Because most previous researches show that the return of the trading day before a holiday is often significantly higher than normal trading days, holiday effect also can be called as pre-holiday effect. Holiday effect has been widely studied in previous literatures, but the subject of previous researches is usually the whole market of the whole country but not a single industry. Therefore, this study examines the abnormal returns and volatilities of tourism stock prices in Taiwan from 1st January, 2003 to 31st December, 2016. Using ARMA-GARCH model with holiday dummy variables, this paper examines holiday effect from different aspects, including overall holiday effect, individual holiday effect, and even the Chinese holiday effect to explore if Chinese traveler would affect the tourism stock price in Taiwan. Generally, this paper shows that there is no significantly excess return in tourism stocks in Taiwan, and suggests that the investors tend to apply conservative investment strategy when holiday approaching.