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題名 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
作者 吳保婷
Wu, Pao-Ting
貢獻者 周冠男
Chou, Robin.K
吳保婷
Wu, Pao-Ting
關鍵詞 行為財務學
宗教
迷信
投資人情緒
鬼月
Behavior finance
Religion
Superstition
Investor sentiment
Ghost month
日期 2018
上傳時間 3-Jul-2018 17:24:22 (UTC+8)
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。
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.
參考文獻 Albaity, M. S., & Rahman, M. (2012). Gender, ethnicity, and religion and investment decisions: Malaysian evidence. Journal of Sociological Research, 3(2), 502-519.
Al-Khazali, O. (2014). Revisiting fast profit investor sentiment and stock returns during Ramadan. International Review of Financial Analysis, 33, 158-170.
Anderson, G. M. (1988). Mr. Smith and the preachers: the economics of religion in the wealth of nations. Journal of Political Economy, 96(5), 1066-1088.
Areni, C. S. (2008). (Tell me why) I don`t like Mondays: Does an overvaluation of future discretionary time underlie reported weekly mood cycles?. Cognition and Emotion, 22(7), 1228-1252.
Baker, M., & Wurgler, J. (2006). Investor sentiment and the cross‐section of stock returns. The Journal of Finance, 61(4), 1645-1680.
Baker, M., Wurgler, J., & Yuan, Y. (2012). Global, local, and contagious investor sentiment. Journal of financial economics, 104(2), 272-287.
Barber, B. M., Lee, Y. T., Liu, Y. J., & Odean, T. (2008). Just how much do individual investors lose by trading?. The Review of Financial Studies, 22(2), 609-632.
Barro, R. J., & McCleary, R. (2003). Religion and economic growth (No. w9682). National Bureau of Economic Research.
Bergsma, K., & Jiang, D. (2016). Cultural New Year holidays and stock returns around the world. Financial Management, 45(1), 3-35.
Bhattacharya, U., Kuo, W. Y., Lin, T. C., & Zhao, J. (2017). Do superstitious traders lose money?. Management Science.
Block, L., & Kramer, T. (2009). The effect of superstitious beliefs on performance expectations. Journal of the Academy of Marketing Science, 37(2), 161-169.
Brown, P., & Mitchell, J. (2008). Culture and stock price clustering: Evidence from The Peoples` Republic of China. Pacific-Basin Finance Journal, 16(1-2), 95-120.
Chen, M. P., Chen, P. F., & Lee, C. C. (2013). Asymmetric effects of investor sentiment on industry stock returns: Panel data evidence. Emerging Markets Review, 14, 35-54.
Chui, A. C., & Wei, K. J. (1998). Book-to-market, firm size, and the turn-of-the-year effect: Evidence from Pacific-Basin emerging markets. Pacific-Basin finance journal, 6(3-4), 275-293.
Chung, R., Darrat, A. F., & Li, B. (2014). Superstitions and stock trading: some new evidence. Journal of the Asia Pacific Economy, 19(4), 527-538.
Cohen, R. B., Gompers, P. A., & Vuolteenaho, T. (2002). Who underreacts to cash-flow news? Evidence from trading between individuals and institutions. Journal of financial Economics, 66(2-3), 409-462.
Coutts, J. A. (1999). Friday the thirteenth and the Financial Times industrial ordinary shares index 1935-94. Applied Economics Letters, 6(1), 35-37.
Edmans, A., Garcia, D., & Norli, Ø. (2007). Sports sentiment and stock returns. The Journal of Finance, 62(4), 1967-1998.
Gervais, S., Kaniel, R., & Mingelgrin, D. H. (2001). The high‐volume return premium. The Journal of Finance, 56(3), 877-919.
Goetzmann, W. N., & Zhu, N. (2005). Rain or shine: where is the weather effect?. European Financial Management, 11(5), 559-578.
Golombik, J., Kumar, A., & Parwada, J. (2011). Does Religion Affect Stock Markets and Institutional Investor Behavior?.
Guiso, L., Sapienza, P., & Zingales, L. (2003). People`s opium? Religion and economic attitudes. Journal of monetary economics, 50(1), 225-282.
Haggard, K. S. (2015). Stock returns in Chinese markets and lucky numbered days. Managerial Finance, 41(9), 925-939.
Hilary, G., & Hui, K. W. (2009). Does religion matter in corporate decision making in America?. Journal of financial economics, 93(3), 455-473.
Hirshleifer, D., Jian, M., & Zhang, H. (2016). Superstition and financial decision making. Management Science.
Hirshleifer, D., & Shumway, T. (2003). Good day sunshine: Stock returns and the weather. The Journal of Finance, 58(3), 1009-1032.
Kaplanski, G., & Levy, H. (2010). Sentiment and stock prices: The case of aviation disasters. Journal of Financial Economics, 95(2), 174-201.
Kamstra, M. J., Kramer, L. A., & Levi, M. D. (2003). Winter blues: A SAD stock market cycle. American Economic Review, 93(1), 324-343.
Ke, W. C., Chen, H., Lin, H. W. W., & Liu, Y. C. (2017). The impact of numerical superstition on the final digit of stock price. The North American Journal of Economics and Finance, 39, 145-157.
Kolb, R. W., & Rodriguez, R. J. (1987). Friday the Thirteenth:Part VII`-A Note. The Journal of Finance, 42(5), 1385-1387.
Kumar, A., Page, J. K., & Spalt, O. G. (2011). Religious beliefs, gambling attitudes, and financial market outcomes. Journal of Financial Economics, 102(3), 671-708.
Lip, E. (1992). Chinese numbers: significance, symbolism, and traditions. Times Books International.
Liu, W. H. (2013). Lunar calendar effect: evidence of the Chinese Farmer`s Calendar on the equity markets in East Asia. Journal of the Asia Pacific Economy, 18(4), 560-593.
Loughran, T., & Schultz, P. (2004). Weather, stock returns, and the impact of localized trading behavior. Journal of Financial and Quantitative Analysis, 39(2), 343-364.
Miller, A. S., & Hoffmann, J. P. (1995). Risk and religion: An explanation of gender differences in religiosity. Journal for the scientific study of religion, 63-75.
Ni, Z. X., Wang, D. Z., & Xue, W. J. (2015). Investor sentiment and its nonlinear effect on stock returns—New evidence from the Chinese stock market based on panel quantile regression model. Economic Modelling, 50, 266-274.
Osoba, B. (2003). Risk preferences and the practice of religion: Evidence from panel data. Unpublished Working Paper, West Virginia University.
Ryan, R. M., Bernstein, J. H., & Brown, K. W. (2010). Weekends, work, and well-being: Psychological need satisfactions and day of the week effects on mood, vitality, and physical symptoms. Journal of social and clinical psychology, 29(1), 95-122.
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Shields, T. (2008). Friday the 13th—a great day to fly or get married.
Simmons, L. C., & Schindler, R. M. (2003). Cultural superstitions and the price endings used in Chinese advertising. Journal of International Marketing, 11(2), 101-111.
Stulz, R. M., & Williamson, R. (2003). Culture, openness, and finance. Journal of financial Economics, 70(3), 313-349.
Teng, C. C., & Liu, V. W. (2013). The pre-holiday effect and positive emotion in the Taiwan Stock Market, 1971-2011. Investment Analysts Journal, 2013(77), 35-43.
Weber, M. (1958). The Protestant ethic and the spirit of capitalism (p. 118). London: Allen & Unwin.
Weng, P. S., & Huang, Y. W. (2017). Lucky Number Premium: Numerological Superstition and Irrational Valuation on the Stock Market.
Yang, A. S. (2016). Calendar trading of Taiwan stock market: A study of holidays on trading detachment and interruptions. Emerging Markets Review, 28, 140-154.
Yardley, J. (2006). Numbers game in China-Superstitions drive up license-plate prices. International Herald Tribune.
Yuan, K., Zheng, L., & Zhu, Q. (2006). Are investors moonstruck? Lunar phases and stock returns. Journal of Empirical Finance, 13(1), 1-23.
Yuan, T., & Gupta, R. (2014). Chinese lunar New Year effect in Asian stock markets, 1999–2012. The Quarterly Review of Economics and Finance, 54(4), 529-537.
描述 碩士
國立政治大學
財務管理學系
105357008
資料來源 http://thesis.lib.nccu.edu.tw/record/#G0105357008
資料類型 thesis
dc.contributor.advisor 周冠男zh_TW
dc.contributor.advisor Chou, Robin.Ken_US
dc.contributor.author (Authors) 吳保婷zh_TW
dc.contributor.author (Authors) Wu, Pao-Tingen_US
dc.creator (作者) 吳保婷zh_TW
dc.creator (作者) Wu, Pao-Tingen_US
dc.date (日期) 2018en_US
dc.date.accessioned 3-Jul-2018 17:24:22 (UTC+8)-
dc.date.available 3-Jul-2018 17:24:22 (UTC+8)-
dc.date.issued (上傳時間) 3-Jul-2018 17:24:22 (UTC+8)-
dc.identifier (Other Identifiers) G0105357008en_US
dc.identifier.uri (URI) http://nccur.lib.nccu.edu.tw/handle/140.119/118223-
dc.description (描述) 碩士zh_TW
dc.description (描述) 國立政治大學zh_TW
dc.description (描述) 財務管理學系zh_TW
dc.description (描述) 105357008zh_TW
dc.description.abstract (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。		zh_TW
dc.description.abstract (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.		en_US
dc.description.tableofcontents 1. Introduction 1
2. Literature Review 8
2-1 Religion 8
2-2 Superstition 10
2-3 Sentiment 12
2-4 Chinese Lunar Calendar 15
3. Research Design 18
3-1 Sample Selection 18
3-2 Independent Variables — Trading Volume and Stock Return 18
3-3 Dependent Variables 19
3-4 Regression Design 20
4. Empirical Results 24
4-1 Descriptive Statistics 24
4-2 Regressions of Trading Volume 26
4-3 Regressions of Stock Return 27
5. Conclusion 32
References 34		zh_TW
dc.format.extent 515290 bytes-
dc.format.mimetype application/pdf-
dc.source.uri (資料來源) http://thesis.lib.nccu.edu.tw/record/#G0105357008en_US
dc.subject (關鍵詞) 行為財務學zh_TW
dc.subject (關鍵詞) 宗教zh_TW
dc.subject (關鍵詞) 迷信zh_TW
dc.subject (關鍵詞) 投資人情緒zh_TW
dc.subject (關鍵詞) 鬼月zh_TW
dc.subject (關鍵詞) Behavior financeen_US
dc.subject (關鍵詞) Religionen_US
dc.subject (關鍵詞) Superstitionen_US
dc.subject (關鍵詞) Investor sentimenten_US
dc.subject (關鍵詞) Ghost monthen_US
dc.title (題名) 宗教迷信和股市的相關性─以台灣為例zh_TW
dc.title (題名) Relationship between Religious Superstition and Stock Market—Evidence from Taiwanen_US
dc.type (資料類型) thesisen_US
dc.relation.reference (參考文獻) Albaity, M. S., & Rahman, M. (2012). Gender, ethnicity, and religion and investment decisions: Malaysian evidence. Journal of Sociological Research, 3(2), 502-519.
Al-Khazali, O. (2014). Revisiting fast profit investor sentiment and stock returns during Ramadan. International Review of Financial Analysis, 33, 158-170.
Anderson, G. M. (1988). Mr. Smith and the preachers: the economics of religion in the wealth of nations. Journal of Political Economy, 96(5), 1066-1088.
Areni, C. S. (2008). (Tell me why) I don`t like Mondays: Does an overvaluation of future discretionary time underlie reported weekly mood cycles?. Cognition and Emotion, 22(7), 1228-1252.
Baker, M., & Wurgler, J. (2006). Investor sentiment and the cross‐section of stock returns. The Journal of Finance, 61(4), 1645-1680.
Baker, M., Wurgler, J., & Yuan, Y. (2012). Global, local, and contagious investor sentiment. Journal of financial economics, 104(2), 272-287.
Barber, B. M., Lee, Y. T., Liu, Y. J., & Odean, T. (2008). Just how much do individual investors lose by trading?. The Review of Financial Studies, 22(2), 609-632.
Barro, R. J., & McCleary, R. (2003). Religion and economic growth (No. w9682). National Bureau of Economic Research.
Bergsma, K., & Jiang, D. (2016). Cultural New Year holidays and stock returns around the world. Financial Management, 45(1), 3-35.
Bhattacharya, U., Kuo, W. Y., Lin, T. C., & Zhao, J. (2017). Do superstitious traders lose money?. Management Science.
Block, L., & Kramer, T. (2009). The effect of superstitious beliefs on performance expectations. Journal of the Academy of Marketing Science, 37(2), 161-169.
Brown, P., & Mitchell, J. (2008). Culture and stock price clustering: Evidence from The Peoples` Republic of China. Pacific-Basin Finance Journal, 16(1-2), 95-120.
Chen, M. P., Chen, P. F., & Lee, C. C. (2013). Asymmetric effects of investor sentiment on industry stock returns: Panel data evidence. Emerging Markets Review, 14, 35-54.
Chui, A. C., & Wei, K. J. (1998). Book-to-market, firm size, and the turn-of-the-year effect: Evidence from Pacific-Basin emerging markets. Pacific-Basin finance journal, 6(3-4), 275-293.
Chung, R., Darrat, A. F., & Li, B. (2014). Superstitions and stock trading: some new evidence. Journal of the Asia Pacific Economy, 19(4), 527-538.
Cohen, R. B., Gompers, P. A., & Vuolteenaho, T. (2002). Who underreacts to cash-flow news? Evidence from trading between individuals and institutions. Journal of financial Economics, 66(2-3), 409-462.
Coutts, J. A. (1999). Friday the thirteenth and the Financial Times industrial ordinary shares index 1935-94. Applied Economics Letters, 6(1), 35-37.
Edmans, A., Garcia, D., & Norli, Ø. (2007). Sports sentiment and stock returns. The Journal of Finance, 62(4), 1967-1998.
Gervais, S., Kaniel, R., & Mingelgrin, D. H. (2001). The high‐volume return premium. The Journal of Finance, 56(3), 877-919.
Goetzmann, W. N., & Zhu, N. (2005). Rain or shine: where is the weather effect?. European Financial Management, 11(5), 559-578.
Golombik, J., Kumar, A., & Parwada, J. (2011). Does Religion Affect Stock Markets and Institutional Investor Behavior?.
Guiso, L., Sapienza, P., & Zingales, L. (2003). People`s opium? Religion and economic attitudes. Journal of monetary economics, 50(1), 225-282.
Haggard, K. S. (2015). Stock returns in Chinese markets and lucky numbered days. Managerial Finance, 41(9), 925-939.
Hilary, G., & Hui, K. W. (2009). Does religion matter in corporate decision making in America?. Journal of financial economics, 93(3), 455-473.
Hirshleifer, D., Jian, M., & Zhang, H. (2016). Superstition and financial decision making. Management Science.
Hirshleifer, D., & Shumway, T. (2003). Good day sunshine: Stock returns and the weather. The Journal of Finance, 58(3), 1009-1032.
Kaplanski, G., & Levy, H. (2010). Sentiment and stock prices: The case of aviation disasters. Journal of Financial Economics, 95(2), 174-201.
Kamstra, M. J., Kramer, L. A., & Levi, M. D. (2003). Winter blues: A SAD stock market cycle. American Economic Review, 93(1), 324-343.
Ke, W. C., Chen, H., Lin, H. W. W., & Liu, Y. C. (2017). The impact of numerical superstition on the final digit of stock price. The North American Journal of Economics and Finance, 39, 145-157.
Kolb, R. W., & Rodriguez, R. J. (1987). Friday the Thirteenth:Part VII`-A Note. The Journal of Finance, 42(5), 1385-1387.
Kumar, A., Page, J. K., & Spalt, O. G. (2011). Religious beliefs, gambling attitudes, and financial market outcomes. Journal of Financial Economics, 102(3), 671-708.
Lip, E. (1992). Chinese numbers: significance, symbolism, and traditions. Times Books International.
Liu, W. H. (2013). Lunar calendar effect: evidence of the Chinese Farmer`s Calendar on the equity markets in East Asia. Journal of the Asia Pacific Economy, 18(4), 560-593.
Loughran, T., & Schultz, P. (2004). Weather, stock returns, and the impact of localized trading behavior. Journal of Financial and Quantitative Analysis, 39(2), 343-364.
Miller, A. S., & Hoffmann, J. P. (1995). Risk and religion: An explanation of gender differences in religiosity. Journal for the scientific study of religion, 63-75.
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dc.identifier.doi (DOI) 10.6814/THE.NCCU.Finance.003.2018.F07-