香港股市月份效應之探討

A Study of the Monthly Effect in the Hong Kong Stock Market

香港的投資者大多以海外投資者居多，加上外資者持續不斷地至香港市場投資，要如何讓投資者選擇好的投資組合，達到分散風險的目的，獲得最佳的報酬績效之問題，一直都是文獻探討的熱門問題，故本研究利用香港股市的投資標的來做為研究對象，探討香港股市中的H股與紅籌股月份效應或規模效應是否存在。本研究運用隨機優勢理論之有無無風險利率，探討月份與規模投資組合之效率組合，實證結果發現香港股市確實具有月份效應，此外亦發現H股具有2月效應與12月效應；紅籌股存在著2月效應；而恆生指數則存在著7月效應及12效應，證實在香港股市中2月、7月、12月市場具有異常報酬。本研究亦探討規模效應是否會影響香港股市之報酬率，實證結果則發現香港股市有規模效應存在。最後，本研究提出在投資者的資金允許下做出一個比率的配置是在具有風險性的資產，而其餘之比率則能投資在無風險性的資產，分配出最合適的資產配置，同時提供投資者在選擇香港股市之投資組合策略時能有較佳之投資績效。

Most of investors in Hong Kong are oversea investors, so how do the investors select an optimal portfolio for risk diversification to earn profits is always a popular topic in literature. Therefore, this study utilizes H shares and red chips as samples to investigate the monthly effect and size effect in Hong Kong stock market. This study used Stochastic Dominance with Risk-free Asset to analysis the portfolio of month investment and size investment. The empirical results reveal that Hong Kong stock market does have a monthly effect, especially on February and December, because in H shares, there are February effect and December effect; in red chips, there is a February effect; in Hang Seng Index, there are July effect and December effect. Therefore, we consider there are abnormal returns on February, July and December. Also, this study investigates whether size effect will influence the return rate in Hong Kong stock market, and the empirical results is proved.In addition, this study provides an optimal asset allocation of risk and risk free assets for investors to earn profits in Hong Kong stock market.