台灣股市連假效應之研究

A Study of the Holiday Effects onThe Taiwan Stock Market

本文所定義之連假，是指台灣連續放三天及以上之國定假日，即股市停止交易達三天及以上的假日。本研究針對台灣加權股價指數、三大權值類股與三大權值個股，探討在連假前後是否存有異常報酬效應產生，採樣樣本是最近十年。研究結果發現：台灣加權股價指數、三大權值類股與三大權值個股，在連假附近前後期間，普遍存在有顯著的正向超額報酬。至於股價反映的形式，則是大同小異十分類似，就是連假過後有比連假前更高的正向超額報酬。以台灣加權股價指數為例，在扣除正常日報酬後，連假前後三天共六日的累積超額報酬達到1.29％。這個結果在扣除日息與交易成本後，仍然太高。因此本研究得到的結果，比較支持台灣股市不具效率性的假說。投資人在連假前三日買進連假後三日賣出，將可獲得顯著的投機利潤。 In this research, a holiday refers to a legal holiday of three or more consecutive days. The stockmarket is closed on holidays normally. In this empirical study, the holiday effect is examined. That is,it is investigated that if there are abnormal returns around the holidays in Taiwan Stock Market. Thesamples are the Taiwan Stock Market Index, the three largest industry indexes and the three largeststocks in those industries. Sample periods are recent ten years.Results show that the seven sampleshave similar price behaviors in holiday effect patterns. Precisely, they have small abnormal returnsduring the nearest three days periods before the holidays, and large abnormal returns during thenearest three days periods after the holidays. The six-day accumulated abnormal returns are largeenough to offer a challenge to the market efficiency. For instance, after deduct the normal daily returns,the six-day accumulated abnormal return around the holidays is 1.29% on the average for the TaiwanStock Market Index. The value is still too large even after considers the relatively low transaction costsand low interest rates in Taiwan. Therefore, it is argued that the profits of speculation around holidaysare available for general investors in Taiwan.