本文使用Box和Jenkins(1970)提出的Autoregressive Integrated Moving Average模型與Nelson(1991)的Exponential Generalized Autoregressive Conditional Heteroscedasticity模型進行台灣股價指數之實證研究。對一些學者已檢視出來在股票市場中，既存的規則與現象是否因為亞洲金融風暴之發生而產生改變。檢定台灣股市大盤與八大產業於亞洲金融風暴前後，在元月效應及春節效應上的顯著性與差異。
本研究發現金融、營建與造紙等產業，不管是在亞洲金融風暴發生前或發生後，皆存在元月效應，代表這三個產業不受風暴發生之影響。而台灣股市在亞洲金融風暴發生之前後，至少都有一半(4個)以上的產業，存在元月效應，且整體之大盤在亞洲金融風暴發生後，反而出現元月效應。顯然元月效應沒有受到亞洲金融風暴發生之影響。而在春節效應上，於亞洲金融風暴發生前之大盤是顯著存在的，八大產業中也有金融、機電、食品與水泥窯等四個產業存在春節效應。但在風暴發生後卻只剩金融產業存在春節效應。因此春節效應明顯地受到亞洲金融風暴發生之影響，且在亞洲金融風暴發生後十年內消失了。

The research is to discuss the stock price in Taiwan in terms of ARIMA announced by Box and Jenkins as well as Nelson’s EGARCH, that is, to survey the feathers and differences shown on January Effect and Chinese Lunar New Year Effect among Taiwan stock market and first eight industries after Asian Financial Crisis. Some scholars have been curious about whether certain used rulers and appearances in stock market were changed or not after Asian Financial Crisis.
This study indicate that industries such as banking, construction, and paper-making all present January Effects no matter whether Asian Financial Crisis is happened or not. Thus, Asian Financial Crisis made no impact on these three industries mentioned above. Besides, although general stock market presented January Effect after Asian Financial Crisis, there were over half industries (4 exactly) have had the feature of January Effect before Asian Financial Crisis’s breaking out. Therefore, it can be concluded that Asian Financial Crisis has no effect on January Effect. On the other hand, Chinese Lunar New Year Effect was an obvious feature among stock market and industries of banking, food, electrical engineering, and cement before Asian Financial Crisis. However, there is only banking industry remained the feature of Chinese Lunar New Year Effect after Asian Financial Crisis and that feature disappeared 10 years later of the economic storm. So we can conclude that Asian Financial Effect made an impact on Chinese Lunar New Year Effect.

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