| Summary: | 碩士 === 國立成功大學 === 國際企業研究所碩博士班 === 98 === 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.
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