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

[[abstract]]本論文使用隨機優勢檢視台灣與中國大陸股票市場的月份效果(monthly effect)。研究的主要結論指出: (1)在台灣股票市場方面:研究期間在不考慮交易成本的情況下，一月與二月在最小規模的投資組合，投資報酬率均比其餘組合的報酬率為高，亦即呈現一月與二月並存的規模效應(January and/or February size effect)，但是當考慮交易成本的情況下，二月份呈現最優勢的月份規模效應，此外當二月份扣除掉交易成本後再與其它月份作比較時，仍然具有優勢的二月效應。(2)在中國大陸股票市場方面: 於研究期間將上海A股與深圳A股合併為群體A股(Group A)，實證結果呈現具有三月的規模效應 (March size effect)，當三月份扣除掉交易成本後再與其它組合作比較時，仍然具有優勢的三月效應。(3)上海B股與深圳B股合併為群體B股(Group B)，實證結果也呈現出與群體A股一樣，具有三月規模效應 (March size effect)，此外當三月份扣除掉交易成本後再與其它月份作比較時，仍然具有優勢的三月效應。(4)上述之群體A股與群體B股的實證結果相類似，這與上海與深圳兩個股票市場間呈現外溢效果(spillover effect)有著相似的結果。(5)最後，我們針對台灣市場與群體A股，分別作一模擬的投資，結論也均與隨機優勢的實證結果相吻合。[[abstract]]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 rule