節日效果對台灣各產業股價異常報酬率及異常變異性之影響

Abstract

股票市場中的多數日曆異常現象已被廣泛研究，但學者對假日效應存在的原因仍未有共識，本文以一般化自我迴歸條件變異模型研究自2000年1月至2012年12月台灣加權指數報酬率及18項產業指數報酬率之節日前、後影響，此影響包含異常報酬率與異常變異性。台灣加權指數報酬率在節日前、後之顯著為非節日報酬率的5至6倍，但如果同時考慮市場交易成本則仍無法真正獲利，顯示台灣加權指數處於部份效率，而各產業指數報酬率則多數呈現節日前正報酬、低變異及節日後正報酬、高變異的特性；本文接著將節日分為國家節日、文化節日及短期、中期、長期假期，並發現有趣的結論。最後，本研究結果顯示加入金融海嘯之考量後並沒有改變先前結論。大致而言，節日效果確實存在台灣股票市場，且高獲利伴隨低風險在某些情況確實存在，本研究提供了台灣投資人另一個投資策略。

The calendar anomalies 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 abnormal return and abnormal volatility of both TAIEX and its eighteen sub-industry indexes from January 2000 to December 2012 by GARCH model. Generally, the empirical results show that during pre and post holiday, TAIEX significantly generates five to six times abnormal positive returns than do non-holiday periods, while it is hard to exploit real profit when trading costs are all taken into consideration, indicating that stock market in Taiwan is somewhere between efficient and inefficient. The regular patterns are that positive return with lower volatility presented one day before holiday, and positive return with higher volatility presented one day after the holiday. This paper then further categorizes holidays into different groups, for example, state holiday or cultural holiday, and the length of the each holiday. Interesting findings can be concluded separately. Finally, the results also show the effect investigated in this paper is robust to financial crisis. Overall, the holiday effect exists in TWSE, and the notion that higher return accompanied with lower risk does appear in some particular situations. The research suggests a new investing strategy for investors in Taiwan.