日曆異常效應：國際主要股票市場之比較研究

Abstract

本文以英、美以及東亞等10個股票市場為研究對象，研究目的有以下3點：（1）檢定國際主要股票市場是否存在星期效應、假日效應、換月效應、月份效應。（2）檢定標準由0改為平均報酬率，並比較日曆異常效應的檢定結果是否改變。（3）將現金股利納入考量，以報酬指數檢定台灣股票市場是否存在日曆異常效應。 本文主要發現如下： 1.各股票市場存在星期效應，只是出現顯著正或負報酬率的時間隨著股票市場不同而不同。但星期效應在各國有減弱的現象。 2.各股票市場存在不同型態的假日效應，且以3日以上休假前的假日效應最為常見。此外，休假前報酬率，除日本、美國、英國外，都呈現隨著假日天數增加而增加的趨勢。 3.各股票市場的換月效應主要集中在交易日-1至交易日+4之間。但是，日本的換月效應發生在交易日-5至交易日+2之間，馬來西亞的換月效應則發生在交易日-9至交易日-7之間。 4.南韓、中國上海以及美國股票市場不存在月份效應。只有台灣以及英國股票市場存在元月效應。 5.將檢定標準從0改為平均報酬率之後，各國日曆異常效應分佈型態產生很大的變化。 6.有無考量發放現金股利，不影響星期效應、假日效應、換月效應以及月份效應的檢定結果。

The paper implements a comparative study of calendar anomalies in international stock markets. The paper has three purposes. First is to test the existence of calendar anomalies. Second is to shift test standard from zero to the average return rate, and to test whether the calendar anomalies exist. Third is to take dividends into consideration and recalculate the total return index. We could apply this index to re-test the calendar anomalies in Taiwan stock market. The following phenomena are observed: 1.The day of the week effect exists but the return rate varies with stock markets and also decreases over time. 2.Among these various holiday effects, the most common one appears before the holiday of 3 days or more. In addition, there is a positive correlation between pre-holiday return rate and the number of holidays in all stock markets excluding Japan, U.S. and U.K. 3.The turn of the month effect in Japan stock market occurs during the period of trading days -5 to +2. In Malaysia, it occurs during the period of trading days -9 to -7. In the remaining stock markets, it occurs during the period of trading days -1 to +4. 4.The monthly effect exists in all stock markets excluding Korea, Shanghai and U.S.. The January effect exists only in Taiwan and U.K. stock markets. 5.When test standard is changed into the average return rate , the distribution of calendar anomalies varies dramatically. 6.The payment of dividends does not affect the test result of calendar anomalies.