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博碩士論文 etd-0122106-035817 詳細資訊
Title page for etd-0122106-035817
論文名稱
Title
台灣上市金融股和觀光股春節效應
An empirical study on Chinese Lunar New Year effects in Taiwan banking and tourism listed stocks
系所名稱
Department
畢業學年期
Year, semester
語文別
Language
學位類別
Degree
頁數
Number of pages
83
研究生
Author
指導教授
Advisor
召集委員
Convenor
口試委員
Advisory Committee
口試日期
Date of Exam
2006-01-20
繳交日期
Date of Submission
2006-01-22
關鍵字
Keywords
觀光股、金融股、一月效應
Financial Stocks, January Effect, Tourism stocks
統計
Statistics
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中文摘要
許多學者專家已經証實了一月效應, 並且發生在許多國家此效應. 一月效應具有非常重要的2個特性:1.一個比其他月份高出許多的異常投資報酬率發生在每年的一月, 2.股價一月份的報酬率和上市公司股本規模成反比. 根據此2個一月效應的特性來檢驗臺灣股市是否在金融股和觀光股有這2個特性? 並探討可能發生的原因 !
Abstract
It is a well-known fact that stocks in many countries exhibit abnormal large returns in January. This so-called ’January effect’ has been documented in a considerable number of papers for different stock markets. A lot of researchers have showed great interests in investigating monthly patterns in stock returns, and the underlying force for generating such phenomenon. Generally, there are two benchmarks to judge whether January effect exist or not. The first distinct feature of the January effect from the financial perspective is its occurrence of time – in January – a time which symbolizes the ending of the previous year and the beginning of a new year. This month also symbolizes the completion of the previous year’s business goals for all the enterprises, including those listed companies. The second is the negative relationship between firm size and stock price returns, i.e., the larger stock price returns are most frequently pronounced in small size firms in January. The purpose of this paper is to use these two benchmarks as the standards to analyze whether the January Effect phenomenon is reflected in the form of traditional Chinese Lunar New Year Effect in Taiwan Stock market, and what are the reasons behind these phenomenon, and what shall the investors respond to such phenomenon.
目次 Table of Contents
List of Tables 3
List of Figures 3
Abstract 5
1. Introduction 5
1.1 Overview 5
1.2 Objectives 7
1.3 Structures of the dissertation 9
2 Literature Review 11
2.1 Overview 11
2.2 Review of relevant Literatures 12
2.2.1 January Effect Revisited 12
2.2.2 CAPM model 13
2.2.3 Random walk model 14
2.2.4 Efficient Market Hypothesis (EMH) 16
2.2.5 Keynes' Common Theoretical Framework for All Seasonal Anomalies 17
2.3 Contemporary Explanations for the January Effect 18
2.3.1 Tax loss selling Hypothesis 18
2.3.2 Window dressing Hypothesis 19
2.3.3 Capital asset pricing model misspecification 20
2.3.4 Seasonal information flows 21
3 Researches and Methodology 22
3.1 Objective 22
3.2 Hypothesis 23
3.3 Analytical Models 24
3.3.1 The variables chosen: choosing criteria and variables chosen 24
3.3.2 The time span divided 25
3.3.3 The Analytical Models 31
3.4 Methods of Data collection 32
3.4.1 Scope of research 32
3.4.2 Sample choosing 33
4 Data Analysis & Findings 36
4.1 Comparison analysis 37
4.1.1 Average Abnormal Return Analysis 56
4.1.2 Average Return vs. Firm size Analysis 56
4.1.3 Standard Deviation (SD) Analysis 61
4.2 Explanation of the results 70
4.3 Limitations of this data analysis 72
5 Conclusions and Recommendations 75
5.1 Conclusions 75
5.2 Recommendations 75
6. Bibliography 78
List of Tables
Table 1: Taiwan’s inter-bank borrowing interest rate: 1991-2005 25
Table 2: Date of Traditional Chinese Lunar New Year – from 1991 to 2005 26
Table 3:Establishment Date of 13 Financial Holding Companies 27
Table 4: Trading period chosen for this study – Banking industry stocks (45 companies) 28
Table 5: 30-trading-day periods divided – from 1991 to 2005 29
Table 6: Beta coefficient of tourism industry stocks 35
Table 7: Beta coefficient of banking industry stocks 35
Table 8: Average abnormal return (ARt) of Banking Industry stocks 38
Table 9: Comparison of the period 1 ARt with the mean of the ARt in banking industry 39
Table 10: Average abnormal return of Tourism Industry stocks 49
Table 11: Comparison of the period 1 ARt with the mean of the ARt in tourism industry 50
Table 12: Five classes of 45 banking companies by the size of shareholders’ equity 58
Table 13: Firm size classes of tourism stocks by size of shareholders’ equity 59
Table 14: Stock return of the 5 classes of banking stocks in classified periods 59
Table 15: Stock return of the 2 classes of tourism stocks in classified periods 60
Table 16: Standard deviation of average abnormal return – Banking industry stocks 62
Table 17: Standard deviation of average abnormal return – Tourism industry stocks 67

List of Figures
Figure 1: Average abnormal return of banking industry stocks: 1991 40
Figure 2: Average abnormal return of banking industry stocks: 1992 40
Figure 3: Average abnormal return of banking industry stocks: 1993 41
Figure 4: Average abnormal return of banking industry stocks: 1994 41
Figure 5: Average abnormal return of banking industry stocks: 1995 42
Figure 6: Average abnormal return of banking industry stocks: 1996 42
Figure 7: Average abnormal return of banking industry stocks: 1997 43
Figure 8: Average abnormal return of banking industry stocks: 1998 43
Figure 9: Average abnormal return of banking industry stocks: 1999 44
Figure 10: Average abnormal return of banking industry stocks: 2000 44
Figure 11: Average abnormal return of banking industry stocks: 2001 45
Figure 12: Average abnormal return of banking industry stocks: 2002 45
Figure 13: Average abnormal return of banking industry stocks: 2003 46
Figure 14: Average abnormal return of banking industry stocks: 2004 46
Figure 15: Average abnormal return of banking industry stocks: 2005 47
Figure 16: Average abnormal return of banking stocks by period: 1991-2005 48
Figure 17: Average abnormal return of Tourism stocks: 1996 51
Figure 18: Average abnormal return of Tourism stocks: 1997 51
Figure 19: Average abnormal return of Tourism stocks: 1998 52
Figure 20: Average abnormal return of Tourism stocks: 1999 52
Figure 21: Average abnormal return of Tourism stocks: 2000 53
Figure 22: Average abnormal return of Tourism stocks: 2001 53
Figure 23: Average abnormal return of Tourism stocks: 2002 54
Figure 24: Average abnormal return of Tourism stocks: 2003 54
Figure 25: Average abnormal return of Tourism stocks: 2004 55
Figure 26: Average abnormal return of Tourism stocks: 2005 55
Figure 27: an overview of average abnormal return of tourism industry stock by period 56
Figure 28: Banking stocks average return of each class 1996-2005 60
Figure 29: Tourism stocks average return of each class 1996-2005 61
參考文獻 References
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