It is a well-known fact that stocks in many countries exhibit abnormal large returns in January. This so-called ¡¦January effect¡¦ has been documented in a considerable number of papers for different stock markets. A lot of researchers have showed great interests in investigating monthly patterns in stock returns, and the underlying force for generating such phenomenon. Generally, there are two benchmarks to judge whether January effect exist or not. The first distinct feature of the January effect from the financial perspective is its occurrence of time ¡V in January ¡V a time which symbolizes the ending of the previous year and the beginning of a new year. This month also symbolizes the completion of the previous year¡¦s business goals for all the enterprises, including those listed companies. The second is the negative relationship between firm size and stock price returns, i.e., the larger stock price returns are most frequently pronounced in small size firms in January. The purpose of this paper is to use these two benchmarks as the standards to analyze whether the January Effect phenomenon is reflected in the form of traditional Chinese Lunar New Year Effect in Taiwan Stock market, and what are the reasons behind these phenomenon, and what shall the investors respond to such phenomenon.
| Identifer | oai:union.ndltd.org:NSYSU/oai:NSYSU:etd-0122106-035817 |
| Date | 22 January 2006 |
| Creators | Nee, Pao-Fang |
| Contributors | Jen-Jsung Huang, Anlin Chen, Chinshun Wu |
| Publisher | NSYSU |
| Source Sets | NSYSU Electronic Thesis and Dissertation Archive |
| Language | English |
| Detected Language | English |
| Type | text |
| Format | application/pdf |
| Source | http://etd.lib.nsysu.edu.tw/ETD-db/ETD-search/view_etd?URN=etd-0122106-035817 |
| Rights | not_available, Copyright information available at source archive |
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