[[alternative]]A Study on Momentum Effect and January Effect for Emerging Markets in Asia

[[abstract]] 根據效率市場假說(Efficient Market Hypothesis, Fama, 1970)，股票價格將迅速、充份且效率地反映市場訊息，據此投資人無法藉由技術分析、基本分析甚或內線消息賺取超額報酬(Excess Return)。然而大量的研究發現多數市場存在不具效率的特性，據此投資人仍可藉由價格變動特性賺取超額報酬，稱之市場異象(Market Anomalies)。其中元月效應及動能效應為普遍探討的市場異象。本研究即以亞洲新興市場為例，檢視樣本市場是否存在元月效應及動能效應。實證結果顯示亞洲新興八個股票市場的大盤指數，發現僅部分支持的「元月效應」存在。動能效應部份，則普遍存在買點訊號(黃金交叉)的「動能效應」。[[abstract]] According to the efficient market hypothesis (Fama, 1970), the stock price will efficiently and completely reflect to the market information, therefore, the investors cannot earn the abnormal returns using both technical analysis and fundamental analysis, or even for inside trading. However, numerous studies have found that the market characteristics are not consistent with the hypothesis of efficient market in most of real markets. They have provided a lot of evidences to suggest that the price change have some specific pattern which is called as market anomalies. This study aims to explore whether the market anomalies, January effect and moment effect, can be observed in the Asian emerging market for providing the valuable information for the investors. The empirical results suggest “January Effect” partly exists in the sample markets. Secondly, “Momentum Effect” actually can be observed in these markets particular for timimg buying signal in the uptrend of stock price