假日效應對台灣餐飲業股價異常報酬與異常波動之影響研究

Abstract

本研究主要探討台灣上市櫃餐飲業是否存在假日效應。我們利用GARCH模型並納入虛擬變數以檢測台灣的假日是否對於上市櫃餐飲業有存在假日前或假日後的異常報酬或波動現象。而實證結果發現：一、整體而言，於異常報酬率中，以春節後效應最為明顯，且大多是存在上市餐飲業而非上櫃餐飲業中；二、整體而言，出現異常波動的大多是在各假日前，且皆為負向的異常波動，而各假日後則幾乎不存在；三、國定假日所出現的負向異常波動次數較非國定假日高；第四、不同假日與不同類型的餐飲業會產生不同的影響結果。

This study focused on the existence of Holiday Effect in Taiwan restaurant industry. We use GARCH model added with a dummy variable which stands for holiday event, in order to examine the abnormal returns and volatility before and after holiday. Our major empirical results are: First, in general, the after-Chinese New Year effect is most significant in abnormal returns. In addition, this effect mainly exists in the listed restaurant industry, but not in the over-the-counter restaurant industry. Second, in general the abnormal volatility often exists in pre-holiday, meanwhile all of the abnormal volatilities are negative. Third, the frequency of abnormal volatilities in pre-national holidays is higher than those in pre-non-national holiday. Fourth, different types of restaurants also receive different impacts in the same holiday.