An Analysis of the Holiday Effect on Tourism Stock Prices, Abnormal Returns and Volatility in Taiwan
|關鍵字:||節日效應;ARMA-GARCH模型;異常報酬;異常波動;Holiday Effect;ARMA-GARCH Model;Abnormal Returns;Abnormal Volatility|
Holiday effect is a calendar anomaly. It refers to the tendency that the approaching of the holidays will influence stock price and occur abnormal returns and volatility. Because most previous researches show that the return of the trading day before a holiday is often significantly higher than normal trading days, holiday effect also can be called as pre-holiday effect. Holiday effect has been widely studied in previous literatures, but the subject of previous researches is usually the whole market of the whole country but not a single industry. Therefore, this study examines the abnormal returns and volatilities of tourism stock prices in Taiwan from 1st January, 2003 to 31st December, 2016. Using ARMA-GARCH model with holiday dummy variables, this paper examines holiday effect from different aspects, including overall holiday effect, individual holiday effect, and even the Chinese holiday effect to explore if Chinese traveler would affect the tourism stock price in Taiwan. Generally, this paper shows that there is no significantly excess return in tourism stocks in Taiwan, and suggests that the investors tend to apply conservative investment strategy when holiday approaching.
|Appears in Collections:||Thesis|