Holiday Effects on the Stock Prices of the Gaming Industry in Macau

Ever since the Efficient Market Hypothesis (EMH) has been presented by many scholars, the holiday effects in stock markets have been widely studied across the literature. However, many anomalies in the market cannot be explained by EMH. Moreover, scholars have not commonly agreed as to the reason for the holiday effect because the aggregated data may cause the effect to remain unapparent. In order to obtain a more correct result and fulfill the gap of literature, this study employs individual data for every company and examines the excess returns and volatilities of six companies in the gaming industry in Macau from January 2008 to December 2013 by the GARCH model. First, our empirical results show that the holiday effect exists, including pre-holiday, and post-holiday for most stocks in the market. Second, we separate the holidays to identify which holiday has a greater influence and find the difference of holiday effect among these listed companies. Finally, because the firms operating in Macau listed on the Hong Kong stock exchange, we explore which region has a larger effect and note that Macau has a bigger impact than Hong Kong on the stock price of company. This research suggests a new investing strategy for investors who have already invested in and provide potential investors who want to invest in Macau’s gaming industry with an opportunity of profit making.

關鍵字

Holiday Effect ； GARCH Model ； Excess Returns ； Excess Volatility

並列摘要

本研究探討澳門博弈事業個股股價是否存在假日效應。研究資料係2008年1月至2013年12月澳門六家得到官方允許從事博弈事業公司之股價，此六家公司分別為銀河娛樂集團有限公司、新濠國際發展有限公司、澳門博彩控股有限公司、永利澳門有限公司、金沙中國有限公司和美高美中國控股有限公司。研究方法為GARCH模型。實證結果發現各家公司的假前與假後效應並不盡相同：銀河娛樂集團有限公司沒有任何假前或假後效應，永利澳門有限公司和美高美中國控股有限公司只有假前效應，金沙中國有限公司擁有假後效應，而新濠國際發展有限公司及澳門博彩控股有限公司同時擁有假前和假後效應。由於澳門博奕事業個股係在香港證券交易所上市，我們將節日區分為香港節日與澳門節日兩類來比較其假日效應差異，實證結果發現相較於上市地點香港，澳門的節日擁有較大的效應。

並列關鍵字

假日效應； GARCH模型；超額報酬；超額波動

國際替代計量

Holiday Effects on the Stock Prices of the Gaming Industry in Macau

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