| Summary: | 碩士 === 實踐大學 === 企業管理研究所 === 92 === 「Festival effect」in empirical result has been the most popular topic discussed by scholars and investment professionals. This paper employs the market model in Event Study and dummy variable regression to identify the effects on investment return in stock market on five main lunar holidays, namely Spring Festival, Lantern Festival, Dragon Festival, Ghost Festival and Autumn Festival with focus on the performance of Taiwan Stock Market in 1996 to 2003 and to compare the irregular return performance in short, mid and long terms during these periods to see whether Festival Effect impacts Taiwan Stock Market. Despite to analyze the rate of daily return on TAIEX, this study also further probes the rates of daily return on 19 groups in Taiwan Stock Market on category basis. Conclusion has been made as:
(1)「Festival Effect」could be clearly identified in Taiwan stock exchange market on both Spring and Autumn Festival, while others not.
a、Spring Festival Effect exists in Taiwan Stock market. Positive abnormal return on investment is discovered in short, mid and long turn during Spring Festival, especially before the holiday.
b、Lantern Festival Effect is less identifiable. However, positive abnormal return on investment is found before the feast. An illation is drawn that Lantern Festival Effect as an extension of Spring Festival Effect
c、Dragon Festival Effect is less identifiable. Negative average cumulative abnormal return is found during the entire observation period.
d、Ghost Festival Effect is less identifiable. Positive average cumulative abnormal return is found during the entire observation period.
e、Autumn Festival Effect exists in Taiwan Stock market. Negative abnormal return on investment is discovered in either short, mid or long turn during this Festival, especially before the holiday.
(2)As for return on Group Indexes, there’s relative few evidence found on the relationship between Festival Effect and stock market performance before and after the holidays. Abnormal return can be clearly identified neither in mid- nor in long-term period. However, the return on group indexes is highly related to the return on stock exchange stock index as a whole.
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