A Comparison of Yearly Stock Return Seasonality Among the American, Hong Kong and Taiwanese Markets

Abstract

在世界各國一些較小規模之股票市場，學術文獻的探討發現有元月份及非元月份股票報酬呈年度季節性變動之現象。本研究的主要目的在檢驗美國、香港及台灣股票市場投資報酬之月份季節性情形。研究元月份及非元月份股票報酬季節性在三個市場之顯著性及其出現可靠性，並加以比較。我們發現以下諸結論(1)美國市場不具任何顯著的及高可靠性的季節變動，然而香港及台灣市場卻分別的有五個及三個月份具顯著之季節性；(2)在台灣及香港之中國人市場出現之非元月份季節性現象，並非由中國人傳統而來；(3)元月份股價效應在香港及台灣市場顯然較美國市場強烈得多；(4)股票報酬在不同規模之市場大有不同，並且不同規模之市場間存在著風險與報酬之不均衡現象。

January and non-January seasonals have been found in several stock markets with lower capitalization. This study examines the yearly seasonals of the American, Hong Kong, and Taiwanese markets. The significance and persistence of the January and non-January seasonals are investigated and compared. Our findings are as follows: (1) the U.S. market does not have any significant and persistent seasonals while the Hong Kong market shows five months and Taiwan three; (2) non-January seasonals found in these Chinese markets are not caused by Chinese tradition; (3) the January effect is stronger in the Hong Kong and the Taiwanese markets than in the American marekt; and (4) the return patterns are different and the risk return disequilibrium exists between high and low capitalized markets.