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研究生：	陳繹安 Chen, I-An
論文名稱：	寒暑假期間對台灣不同產業的股價與銷售淨值之實證影響 The Summer and Winter Vacation Effects on Share Prices and Net Sales: An Empirical Study of Different Industries in Taiwan
指導教授：	康信鴻 Kang, Hsin-Hong
學位類別：	碩士 Master
系所名稱：	管理學院 - 國際企業研究所 Institute of International Business
論文出版年：	2010
畢業學年度：	98
語文別：	英文
論文頁數：	61
中文關鍵詞：	日曆效應、暑假效應、寒假效應
外文關鍵詞：	Calendar Effect, Summer Vacation Effect, Winter Vacation Effect
相關次數：	點閱：66 下載：5
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本研究主要研究兩個議題。第一個議題為，本研究試圖找出股價跟某些特別產業之間於寒暑假期間的關聯性。第二個議題為，本研究試圖找出，於寒暑假期間，銷售淨額與特定產業之間的關聯性。
自從Fama (1970) 提到「效率市場假說」，許多研究者開始依照Fama的假說，去檢驗他們國家的情形。某些研究人員證實「效率市場假說」的存在，但某些研究人員指出，效率市場中存在者某些非效率行為，這些作者們，把這個違反效率市場的情形，稱做「日曆效應」。「日曆效應」指的是，在某些特別的日子、月份、或年代，股票市場會出現異常報酬的情況。
大多過去的文獻，都有提到「一月效應」與「農曆新年效應」，但是卻只有少數的文獻有提到「暑假效應」，例如Mougoue(1996)以及Lee(1992)都指出在台灣，暑假並無顯著正向的異常報酬。在大部份的研究中，暑假的報酬率幾乎都為負報酬。因此本研究想檢驗，使否在大盤報酬率為負的情況下，某些產業的報酬率可以為正。更甚者，本研究也愈探討，不同產業的銷售淨額，是否在寒暑假會有異常的表現。
經由一系列的檢驗方法，本研究將實證結果整理如下:
1. 在線上遊戲產業、觀光旅遊產業、以及電腦周邊產品產業，暑假效應對於報酬率是呈現負的影響。但是跟其他產業於非寒暑假期間的報酬率相比，遊戲產業、觀光旅遊產業、以及電腦周邊產品產業，對於報酬率，都是呈現正的影響。
2. 在觀光旅遊產業中，暑假效應對於平均股價來說，是呈現正影響的。但是，在遊戲產業以及電腦周邊產品產業中，寒假效應對於平均股價來說，是呈現負影響的。關於寒假效應對平均股價呈現負向效應，可能是受到次級房貸風暴的影響。
3. 在電腦周邊產品產業中，暑假效應對於銷售淨值，呈現負的影響；但在另一方面，寒假效應對於銷售淨值，是呈現正的影響。更甚者，與在非寒暑假的其他產業相比，電腦周邊產品產業對於銷售淨值，是呈現正相關的。

This study has two aims. The first attempts to figure out the relationship between share price and particular industries during summer and winter vacations. The second examines the relationship between net sales and particular industries during these vacations.
Since Fama (1970) first presented the efficient market hypothesis, many researchers have followed his idea. While some authors have confirmed the efficient market hypothesis, others have found evidence to disprove it. The authors who did not support Fama’s idea claimed that the abnormal returns were caused by calendar effects, which means that for some particular days, months, or years there will be abnormal returns in the stock market.
Although many previous studies examine the so-called January and Chinese New Year effects, few have found positive returns during the summer vacation in Taiwan, for instance, Mougoue (1996) and Lee (1992). These studies infer that the summer vacation effect for the returns is usually negative. Thus, this study will examine whether or not when Taiwan’s stock market index is negative overall, for some industries the share price movements can be positive. Furthermore, we also want to know, in addition to the share price, whether the net sales in some industries are influenced during summer and winter vacations.
We perform a preliminary test, multicollinearity test, nested hypothesis test, autocorrelation test, and final test in this study. The empirical results are summarized, as follows:
1. In the online game industry, tourism industry, and computer peripheral industry, the summer vacation effect has a negative effect on rate of return. However, compared with other industries in non-summer or non-winter vacation periods, the online game industry, tourism industry, and computer peripheral industry have positive rate of return.
2. In the tourism industry, the summer vacation does have a significantly positive effect on average share price. However, in the game and tourism industry, the winter vacation has a negative effect on average share price.
3. In the computer peripheral industry, summer vacations have a negative effect on net sales, while winter vacations have a positive effect. Moreover, compared with other industries during the non-summer or non-winter vacation periods, the computer peripheral industry has positive net sales.

Table of Contents
Chapter 1 Introduction……………………………………………………...1
	1.1 Research Motivation………………………………………………...1
1.2 Research Objectives and Contributions…………………………...3
1.3 Research Process…………………………………………………….4
Chapter 2 Literature Review…………………………………………..........5
2.1 Literature Review on Efficient Market Hypothesis………………5
2.2 Literature Review on Calendar Effects……………………………5
2.2.1 Literature Review on Monday Effect………………………….8
2.2.2 Literature Review on Monthly Effect………………………….9
2.2.3 Literature Review on January Effect……………………..........9
2.2.4 Literature Review on Chinese Lunar New Year Effect………10
2.3 Comparison with the Existing Literature and Possible 
	Research Directions……………………………………………….12
Chapter 3 Research Design………………………………………………...15
3.1 The Conceptual Model…………………………………………….15
3.2 Sample Selection and Description...…………………………........16
3.3 Research Hypotheses and Variable Measurement……………….16
3.3.1 Research Hypotheses…………………………………………16
3.3.2 Measurement of the Dependent Variables……………………18
3.3.3 Measurement of the Independent Variables……………..........19
3.3.3.1 Dummy Variables………………………………………19
3.4 Methodology…………………………………………………..........24
3.4.1 The Multicollinearity Test…………………………………….25
3.4.2 The Nested Hypotheses Test………………………………….26
3.4.3 The Autocorrelation Test……………………………………...27
Chapter 4 Empirical Results………………………………………………28
4.1 Share Price Model…………………………………………………28
4.1.1 Regression Results for the Preliminary Model……………….29
4.1.2 The Multicollinearity Test…………………………………….32
4.1.3 The Nested Hypothesis Test……………………………..........36
4.1.4 The Autocorrelation Test……...................................................38
4.1.5 Regression Results for the Share Price’s Final model………..40
4.2 Model of Sales……………………………………………………...44
4.2.1 Regression Results for the Preliminary Model……………….44
4.2.2 The Multicollinearity Test…………………………………….46
4.2.3 The Nested Hypothesis Test……………………………..........48
4.2.4 The Autocorrelation Test……………………………………...50
4.2.5 Regression Results for the Share Price Final Model…………51
Chapter 5 Conclusions………………………………………………..........53
5.1 Contribution…………………………………………………..........53
5.1.1 Results and Implications for Rate of Return Model………….53
5.1.2 Results and Implications for Average Share Price Model……55
5.1.3 Results and Implications for Net Sales Model………….........56
5.2 Comparison………………………………………………………...57
5.3 Limitations…………………………………………………………58
5.4 Future Research Directions……………………………………….58
References…………………………………………………………………..59
 
List of Tables
Table 3-1 Summary of variables………………………………………............22
Table 4-1 Regression Results for the Preliminary RR Model………………...29
Table 4-2 Regression Results for the Preliminary ASP Model………………..31
Table 4-3 Results of Multicolliearity Test for the RR Model……...………….33
Table 4-4 Results of Multicollinearity Test for the ASP Model………...........35
Table 4-5 Results of the Nested Hypothesis Test for the RR Model………….36
Table 4-6 Results of the Nested Hypothesis Test for the ASP Model…………37
Table 4-7 Results of the Autoregression Test for the RR Model……………...38
Table 4-8 Regression of the Autoregression Test Results for the ASP Model...39
Table 4-9 Regression Results for the Final RR Model………………………..41
Table 4-10 Regression Results for the Final ASP Model……………………..43
Table 4-11 Regression Results for the Preliminary Net Sales Model…………45
Table 4-12 Results of the Multicolliearity Test for the Net Sales Model…......47
Table 4-13 Results of the Nested Hypothesis Test for the Net Sales Model….49
Table 4-14 Results of the Autoregression Test for the Net Sales Model……...50
Table 4-15 Regression Results for the Final Net Sales Model………………..52


 
List of Figures
Figure 3-1 Conceptual Model…………………………………………...15
Figure 3-2 Methodology process………………………………………..24

List of Equations
equation 3-1…………………………………………………………….18
equation 3-2..........................................................................…...............18
equation 3-3..........................................................................…...............18
equation 3-4..........................................................................…...............19
equation 3-5..........................................................................…...............19
equation 3-6..........................................................................…...............19

                                    

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校內：2013-07-28公開
校外：2015-07-28公開

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