台灣股票市場元月效應之探討-以ETFs為例

『元月效應』為股票市場中每年元月之投資報酬率會高於其他月份之異常現象。過去研究多以股價指數為研究對象，鮮少以ETFs進行分析。本文將以台灣股市交易之18支國內成分證?ETFs為研究對象，藉由統計方法，來檢驗我國ETFs是否存有類似之異常效應。研究期間自西元2003年第一支ETF台灣50上市開始到2017年12月。研究範圍涵蓋歷年元月相對應的ETFs原始報酬率、超額報酬率、成交量、成交值和周轉率逐一分析，提供投資者在進行ETF投資時更多的資訊。實證結果顯示，經由元月份報酬率與其他月份做ANOVA 分析比較後得知，台灣ETFs確實存有異常日曆效果。進一步分析指出ETFs元月份的交易熱絡、但報酬率表現顯著較其他月份的平均報酬率為差，與傳統以股價指數為研究對象，所呈現的元月效應現象不同。

關鍵字

日曆異常現象；元月效應；指數股票型基金

並列摘要

"January Effect" means that the stock market returns in January are generally higher than the returns of all other months. In the past, most of the research was based on the stock index, and few ETFs were used for analysis. This study will use the 18 domestic stocks ETFs of Taiwan stock market trading as the research object, and use statistical methods to examine whether there are similar abnormal effects in Taiwan's ETFs. The research period starts from the first ETF Taiwan 50 listing in 2003 to December 2017. The scope of the study covers the original return rate, excess return rate, trading volume, transaction value and turnover rate of the corresponding ETFs in January of the over the years, providing investors with more information on ETF investment. The empirical results show that after comparing the January return rate with other months, ANOVA analysis shows that Taiwan ETFs do have an calendar anomaly effect. Further analysis pointed out that the transaction of the ETFs in January is hot, but the rate of return is significantly worse than that of other months. Compared with the traditional stock index, the phenomenon of January effect is different.