假日效應對臺灣航運業股價報酬與波動性之影響

Abstract

本研究主要探討臺灣航運業股價是否存在假日效應。本文利用一般化自我迴歸條件變異模型並納入虛擬變數以檢測自2001年1月至2013年12月臺灣加權指數、航運業類指數及航運業主要上市櫃公司，臺灣各大節日是否對於主要上市櫃航運業股價有存在假日前或假日後的報酬或波動現象。而實證結果發現：航運業類指數在元旦前、春節後、清明節前、聖誕節前具有顯著正報酬；貨櫃航運方面，春節後有正報酬；散裝航運方面，元旦後及和平紀念日後有正報酬；貨櫃運輸及倉儲方面，元旦後、春節後及聖誕節前有正報酬。航空運輸方面，個股無一致性；陸上運輸方面在春節前、清明節前、國慶日後有正報酬。

接著將節日分為國內節日與全球性節日兩類假日效應差異，研究發現貨櫃航輸、航空運輸、陸上運輸在全球性節日後都有顯著的變異為正。貨櫃運輸及倉儲則是在國內節日後有顯著的變異為正。最後，探討節日放假長短對於航運類股的影響，研究發現短期節日並不會造成航運類股變化，可推測多數投資人認為1至2天假期無異於一般週休二日；航空運輸除外，長期假日後引發航運業股價正報酬最為明顯，中期假日後次之。

This study investigates holiday effects on shipping and transportation stock prices in TAIEX. The dummy variables were included in generalized autoregressive conditional heteroskedasticity (GARCH) model to test holiday effects of TAIEX from 2001 to 2013. Empirical results show that Shipping and Transportation Index generated positive returns during before New Year, after Chinese Lunar New Year, before Ching Ming Festival, and before Christmas. We then further categorize holidays into domestic and global holidays. The container shipping, air transport, and land transport stock prices have significantly positive changes in return variances after global holidays. The container inventory stock prices have significantly positive changes in returns variances after domestic holidays. The impact of the length of holidays is then further explored. The short-term holidays cause no significant changes, but after the long-term holidays there are significant positive changes in returns variance for most shipping and transportation stock prices in TAIEX.