節日效果對中國大陸稀土產業股價指數報酬與波動性之影響

Abstract

本研究主要探討中國大陸稀土產業股價指數是否存在節日效果。本文利用的模型為ARIMA-GARCH 模型，並納入節日虛擬變數以檢測自2005年1月至2015年12月中國大陸十六家掛牌上市之稀土原料供應企業以及稀土原料加工企業調整後股價所編製成之中國大陸稀土產業報酬率是否有節日效果，以及是否因產業季別不同而有異常報酬與波動存在；此十六家企業分別為北方稀土、五礦發展、天通股份、西藏礦業、廣晟有色、中色股份、中金嶺南、中科三環、北礦磁材、安泰科技、東方鉭業、物產中大、津濱發展、英洛華、廈門鎢業以及寧波韻升。 實證結果發現：中國大陸稀土產業無論節日前或節日後皆存在異常報酬與異常波動；若是以節日放假天數長短區分節日則除了短期節日後的節日效果較不顯著以外，其餘也都存在顯著節日效果；若將節日依屬性分成國家節日與文化節日，無論屬性為何節日後皆存在異常報酬，負向異常波動則普遍存在於節日前後。 接著再將金融危機期間之虛擬變數加入先前三項模型，發現金融風暴期間確實對中國大陸稀土產業產生負向影響，但是節日效果依舊存在，並未因考量金融危機之因素而使得節日效果不顯著。最後，我們另外分析第一季至第四季中是否存在顯著差異，發現在第三季 (7~9月) 時存在顯著的正向異常報酬。

The holiday effects in stock market have been widely studied in previous literature. However, the reason why holiday effects occur has not yet received commom explanation among scholars. This paper examines excess returns and volatilities of rare earth metals stock prices index from January 2005 to December 2015 by ARIMA-GARCH model, including sixteen companies (CNRE Ltd., Minmetals Development Ltd., TDG Holding Ltd., TMD Ltd., RNM Ltd., NFC Ltd., SZLN Ltd., ZKSH Ltd., BGRIMM Ltd., AT&M Ltd., NXOT Ltd., ZD Ltd., Beijing Jinbin Development Ltd., Innuovo Technology Ltd., Xiamen Tungsten Ltd. and NBYS Ltd.) First, empirical results show that rare metals industry in China has pre- and post-holiday effect. Second, we separate the holidays by the length of vacation days and categories of holidays, we find there still have some holiday effects. Third, we consider financial crisis into our previous models as an influential factor for returns and volatility, results show that financial crisis has bad influence on the returns of rare earth metals industry in China indeed, but the holiday effects results still exist. Finally, we explore if there have abnormal returns and volatility within different seasons of rare metals industry in China, then we observe that only season 3 has abnormal returns. This research suggests a new strategy for investors who want to invest the rare metals industry in China.