『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。而在亞洲,多數國家傳統上使用農民曆的國家,其市場可能存有特殊的『春節效應』。本研究將以台灣股票市場為研究對象,藉由統計方法,來檢驗我國股票集中市場是否存有類似之異常效應。研究期間自西元1995年至2014年,共計二十年。研究範圍除了台灣股市之大盤外,將針對電子類、金融類、塑膠類、食品類和汽車類指數逐一分析,找出容易產生這些異常現象的產業,提供投資者在進行股票投資時更多的資訊。 實証結果歸納如下: 1.台灣股票市場在1995年至2014年(共20年)這段期間,除了存在著農曆月份效應外,更存在著所謂的春節效應。加入控制變數後更可發現,大盤指數與S&P 500指數、美金兌台幣匯率和M1B貨幣供給量月底值有很高的關聯性,同時也使得大盤指數之農曆月份效應更為明顯。2.橫斷面分析:電子類、金融類、塑膠類、食品類和汽車類指數部分,透過迴歸分析發現,除電子類、塑膠類指數有春節效應外,其餘的農曆月份效應並不明顯。3.縱斷面分析:透過將研究時間(1995年至2014年)區分為四個階段,發現台灣股市大盤指數報酬之春節效應已經逐漸消失,其餘的農曆月份效應雖然還存在但也產生變化,從最早的農曆三月、十二月轉至九月,近五年來甚至已經越來越不明顯。
"January Effect" means that the stock market returns in January, are generally higher than the returns of all other months. However, in Asia many countries such as China, Japan Korea and Taiwan, the traditional Lunar Calendar are still widely used by general people in their daily life by now. Therefore in those countries the January effects could be quite different patterns and cycles, say "Lunar January Effect". Using data of recent twenty years, this study examines the Lunar January effect on the Taiwan stock market. Empirical results obtained are summarized as follows. 1. During the past twenty years, Taiwan stock market found existed Lunar January effect and the Lunar monthly effects. 2. Cross-sectional analysis shows that Electronics and Plastic, sector indexes demonstrated Lunar monthly effects, whereas Financial, Food and Automotive sector indexes shown no such effect. 3. Time series analysis shows that across the past twenty years, the patterns of Lunar monthly effect have shift form March and December in the early periods into September in the later periods. In addition, Lunar January effect has now become much less intensive or barely a disappeared phenomenon in Taiwan.