A Comparative Study on Time Effects on the Greater Chinese Stock Markets - Taipei, Hong Kong, Shanghai and Shenzhen

• Main Authors: Zong-Yi Siao, 蕭宗益
• Other Authors: George Y. Wang
• Format: Others
• Language: zh-TW
• Published: 2007
• Online Access: http://ndltd.ncl.edu.tw/handle/98748499946293969501

碩士 === 國立高雄應用科技大學 === 商務經營研究所 === 95 === This paper is directed at the study of time effects on the Chinese stock markets (Taipei, Hong Kong, Shanghai, and Shenzhen). Based on the data ranging from 1992 to 2006, we use the ordinary least squares model (OLS) and the generalized autoregressive conditional heteroscedasticity model (GARCH) to examine the three different time effects such as weekend effect, monthly effect and quarterly effect on four stock markets. The main contribution of this study is to examine market efficiency by testing time effects on the Great Chinese stock markets such that investors could form an appropriate investment strategy. The findings are as follows: First, the weekend effect exists in Taipei stock markets only while the other three markets do not exist. However, the weekend effect has become less significant since the year of 2001 in which Taipei adopted the 5 working-day-per-week system. Second, the January effect is significant in Hong Kong, Shanghai and Shenzhen stock markets while insignificant in Taipei. It is also found that there is strong negative September effect on Taipei, while Hong Kong has strong positive October and November effects. Third, Taipei market has negative effect on the third quarter and positive effect on the forth quarter. The implication is that market anomalies in terms of time effects do exist in the Great Chinese stock markets.