- 學位論文
宗教迷信和股市的相關性─以台灣為例
Relationship between Religious Superstition and Stock Market—Evidence from Taiwan
摘要
本文欲探討宗教迷信對於股市的影響。過去許多宗教相關文獻多以西方宗教為主，由於東方傳統宗教多元且不易尋找替代變數，故較缺乏類似研究。因此，本研究以台灣股市為例，使用鬼月以及鬼門開當天為宗教迷信之替代變數，並研究其與股市交易量及報酬率之關係。由於宗教迷信與投資人情緒已在過去文獻中被證實與股市有關聯，本研究資料包含了兩項情緒相關指標：公司規模及年齡。此外，因不同產業在鬼月期間受到的影響各異，本研究進一步將資料劃分成十種不同產業欲探討何種產業會受到較大衝擊。 研究結果發現單以事件日進行迴歸，在鬼月及鬼門開當天均出現顯著的交易量下跌，其中，由於鬼門開當日更具代表性，下跌幅度更甚，平均下跌幅度為350千股，鬼月平均下跌幅度則為208千股。並且，此迷信導致規模較大的公司會有更顯著的下跌，在鬼門開當天及鬼月的下跌幅度分別約為323千股及54千股；雖研究結果指出越年輕的公司越易受到此迷信影響，然而與其關聯遠小於公司規模。至於產業部份，金融相關行業受到鬼月的影響最為顯著且甚大，鬼月區間跌幅平均高達1150千股，其次為通訊業，其餘產業則沒有顯著影響。 然而，不同於交易量，報酬率在鬼門開及鬼月區間並沒有非常顯著的下降。鬼月區間的報酬率下跌僅有0.106%，且在考量規模及公司年齡之後並無顯著變化。而過去有文獻指出異常交易量會導致在其後一定區間內導致報酬率異常，因此本研究進一步探討鬼月結束之後五天及一個月之報酬率是否有顯著下跌。研究結果指出，加入公司規模及年齡後，在鬼月結束五天內的報酬率顯著下跌0.323%，在其後一個月內下跌幅度則為0.135%，顯示此宗教迷信確實對於股市造成明顯的影響，證實投資人不理性行為的存在，並且，來自宗教的迷信及其可能導致的投資人情緒低迷並不會持續很久。本研究填補過去文獻對於東方宗教迷信較少探討之缺口。
並列摘要
This study investigates whether religion in Taiwan would lead to superstitious beliefs in seventh month in the lunar calendar, called “ghost month”, and results in trading volume anomaly of investors and anomalies in stock returns. Past studies have proved that religious beliefs and superstition have influence on securities markets. This paper is motivated by the link between religion and superstition but focuses on Taiwan. Since most existing research studies focus on Western religions, this paper aim at filling this gap. Empirical results suggest that stock trading volume significantly drops in the first day of seventh month in Chinese lunar calendar and the whole month, with the amount dropping at the first day larger, at 350 thousand shares and 208 thousand shares respectively. Besides, larger and younger companies are influenced more by the superstition of this period, yet firm age shows only slight influence. Larger firms have astonishing significant decrease in trading volume, especially at the first day with the amount of 323 thousand shares, and 54 thousand shares in the whole month. Furthermore, dividing all listed companies into ten industries, financial industry is significantly influenced the most with a decline of 1150 thousand shares, followed by telecommunication. As for returns, there is no remarkable effect by “ghost month”. Therefore, the research further investigates the returns after the end of ghost month, and find that there is a significant negative stock return in subsequent 5-day period (-0.323%) and in subsequent one-month period (-0.135%). The results of this research point out that religious beliefs and superstition in eastern countries do have influence on stock market, confirming that investors’ irrational behavior do exist, yet those superstition and possible investors’ low sentiment do not last for a long time.