An Investigation of the Monthly Effect on the Taiwan and Chinese Stock Markets

• Main Authors: Chin-Shan Hsieh, 謝金山
• Other Authors: Jian-Hsin Chou
• Format: Others
• Language: en_US
• Published: 2008
• Online Access: http://ndltd.ncl.edu.tw/handle/69369792429618727531

博士 === 國立高雄第一科技大學 === 管理研究所 === 97 === This study uses stochastic dominance theory with and without risk-free asset, to examine whether the monthly effect exists on the Taiwan and the Chinese stock markets. The main results indicate that 1) on the Taiwan stock market shows that returns on January (Portfolio 1) and February Portfolio 1 (the smallest firm size group) outperform all the other larger firm size portfolios and equal-weighted index and exists February size effect. When transaction costs are considered, February effect still exists in the all size-directed portfolios and market index. 2) On the Group A shares of the Chinese stock markets, When with and without transaction costs, all indicate the March size effect in the all other size-directed portfolios and market index. 3) On the Group B shares of the Chinese stock markets, When with and without transaction costs, all indicate the March size effect in the all other size-directed portfolios and market index. 4) The above results are similar to the Group A Shares, which can be explained the volatility transmission between the two markets is found to exist the volatility spillover effect. 5) Finally, we take two simulation investments for illustrating the February effect on the Taiwan Stock Exchange, and March effect on the Group A Shares of Chinese Stock Markets. The simulation result also displays the same phenomenon with efficient sets of the stochastic dominance rules.