碩士 / 國立交通大學 / 經營管理研究所 / 105 / This study focuses on the existence of holiday effects on Internet platform industry in Taiwan and Mainland China. The dummy variables standing for holiday events were included in GARCH model, in order to test the abnormal return and abnormal volatility before and after holiday from the company listed at stock exchange market or over-the-counter market time to February 2017. Empirical results show that Internet platform industries in Taiwan and Mainland China both have pre- and post-holiday effect. Stock prices of Internet platforms in Mainland China have more positive volatilities before holidays, and more negative volatilities after holidays. Stock prices of Internet platforms in Taiwan com up with all lower volatility before holidays and more higher volatilities after holidays. We then further categorize holidays into different groups: Off holidays significantly affect the stock price variance of Internet platform industry in Taiwan and Mainland China. Cultural holidays have more significant impacts on stock prices of Internet platform industry in Mainland China while state holidays have more significant effects on those in Taiwan.
| Identifer | oai:union.ndltd.org:TW/105NCTU5457032 |
| Date | January 2017 |
| Creators | Chen, Yi-Han, 陳奕涵 |
| Contributors | Hu, Jin-Li, 胡均立 |
| Source Sets | National Digital Library of Theses and Dissertations in Taiwan |
| Language | zh-TW |
| Detected Language | English |
| Type | 學位論文 ; thesis |
| Format | 57 |
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