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股票市场季节性是一个古老的问题,由于在一年的特定时期会有异常收益的可能性因此它一直受到金融研究者们的关注(Mills, 1992)。季节性或日历异常是众所周知的,也许也是金融市场效率低下最令人所知的例子。在发达国家,甚至在某些新兴市场国家这样季节性的异常存在于完善的股票市场中(Jason D. Mitchell and Li Lian Ong, 2006).
各种效应已经被研究人员进行了测试,如一年当中每月的效应,节日效应和一周效应。对于一周情绪的效应,投资者更倾向于将坏消息的宣布推迟到周末。因此,市场将没有时间来吸收冲击。对于每月效应,有一个税损卖盘效应,例如在一月出售无利可图的股票和再投资,甚至财务经理试图展示年底更好的组合结构。对于节日效应,其因素包括心理因素,因为它导致投资者在假期到来之前有一个好心情。
中国新年在亚洲股市中的异常-Chinese New Year Anomaly On Asian Stock Markets
Stock market seasonality is an old issue that continues to draw the attention of finance researcher due to its potential of producing abnormal gains during certain period of the year (Mills, 1992). Seasonality or calendar anomalies are also well known and are perhaps the best-known examples of inefficiencies in financial markets. Such seasonal anomalies exist to the well-established stock market in the developed countries, and even in certain emerging market country (Jason D. Mitchell and Li Lian Ong, 2006).
Various effects have been tested by researcher such as Month of the year effect, holiday effect and day-of-the-week effect. For day-of-the-week effect, there are investors tend to delay the declaration of bad news until the weekend. Therefore, the market will not have time to absorb the shock. For monthly effect, there is tax-loss selling effect such as sell off the unprofitable stocks and re-invest in January and even the financial managers try to show better year end portfolio structure. For holiday effect, the factors including the psychological reasons as it leads to investors have a good mood before the holiday falls.
Some of the calendar effect is due to particular events including economic, cultural, social and political implications on the various Asian stock markets such as Malaysia, Indonesia, Hong Kong, China, Taiwan, Korea and Singapore. It is suspected that the stock market moves when the particular events such as cultural event happens. The existence of seasonality in the stock market will implies the chances to gain excess returns by using market timing strategies.
Chinese New Year occasion is a very essential event in the Chinese culture. Most of the Chinese will take it very seriously and celebrate widely when this festival comes. Chinese form a large group in Asian countries. Chinese people will spend a lot when this festival is around by purchasing new houses, decorate houses, prepare banquets for friends and families, prepare lucky money for the young generation, and even go for vacations. Thus, aggressive Chinese investors do not have much money for stock speculation. Therefore, when Chinese New Year is around, the withdrawal of capital from stock market will directly affect the stock market performance (Chien, C.C. and Chen, T.C., 2007). Beside, people keep stocks as an asset mostly will liquidate it when money needed. It leads to many speculate that stock market reach high levels before Chinese New Year celebration when Chinese need money for spending during the event. Researcher also proves that Chinese New Year has an effect towards the market because there is significant high return after the occasion. It give signal to sell stock and gain excess return after Chinese New Year holidays.
Studies shows that Chinese New Year were widely celebrated in Asian countries such as Hong Kong, China, Malaysia, Indonesia, Singapore, South Korea and also Taiwan.
All Chinese in these Asian countries form such a large population. China is with the largest population in Chinese. This is due to majority with Chinese in China and even having the largest population in the world. Beside, Chinese in Malaysia form the second largest ethic group in Malaysia. Chinese in Malaysia is referring to Chinese Malaysian. There are also Hong Kong, Indonesia, Singapore, South Korea and also Taiwan with the Chinese population. Subsequently, there is a public holiday declare in all of these Asian countries.
This research study will attempt to examine the Chinese New Year anomaly under the calendar effect in Asian countries. Chinese New Year anomaly questions whether volatility exists in the rates of return during the Chinese New Year in order to make prediction on stock market return for the investors. The interest of this research is to determine the existence of the Chinese New Year anomaly on Asian stock markets. In this research study, a study on the seven stock exchange market in Asian countries will be performed, beginning from year 1990 to year 2009.
This chapter provides overall picture of this research study. Subsequently, the next part in this chapter will focus on market efficiency, tenets of efficient market, and levels of market efficiency. This is follow by implications of Efficient Market Hypothesis (EMH) and random walk hypothesis are being outline. There are problem statement, research objectives, research questions, justification of the study and even hypothesis statements state in this chapter. Organization of study also include in the last part of chapter.
1.2市场效率-1.2 Market Efficiency
The basic idea behind an efficient market is that the market price of securities always fully reflects available information, and as a result, it is hard, if not impossible, to consistently outperform the market by selecting “undervalued” stocks or dropping the “overvalued” stocks. The concept hypothesize that investors quickly incorporate all available information into decisions about the price willing to buy or sell stocks. If capital markets are sufficiently aggressive, then simple microeconomics indicates that investors cannot expect to obtain higher profits from investment strategies (Elroy Dimson 1998). Specifically, not only the past information which might be found in company reports is reflected at the current share price, but also information about events that have been announced but have not yet occurred like a forthcoming dividend payment. Even the predictions about future information that have not been disseminated also become surrounded in current share prices. This is happened all the time as investors actively for
ecast important events and incorporates those forecasts into estimates.
1.3有效市场的原则-1.3Tenets of Efficient Market
Active Asian markets such as the Hong Kong Exchange and Tokyo Stock Exchange are efficient. It made up of many rational, highly competitive investors who react quickly and objectively to new information. The behavior of Efficient Market Hypothesis (EMH) has several tenets whereby there are many educated and aggressive investors actively analyzing, valuing, and trading particular security. Hence, the price of any securities cannot be affected by just individual traders. It also state that internet is regularly used for explore research nowadays. This lead to information is broadly available to all investors at around the same price, and this information is “free”. Also, information on events, such as labor strike, industrial accidents, and changes in product demand tend to come forward randomly and lastly even prices adjusted quickly and accurately because of the investors react quickly and accurately on the information receive.
1.4市场效率的水平-1.4 Levels of Market Efficiency
The Efficient Market Hypothesis (EMH) is concerned with information on not only the type and source of information, but also the quality and speed with which it is disseminated among investors. Three cumulative categories or forms are discussed which are weak form efficiency based on past prices only, semi-strong form efficiency is based on past prices plus all other public data, and the past prices and public data plus private information is with the strong form efficiency.
1.4.1虚弱形式效率-1.4.1Weak Form Efficiency
Weak form of Efficient Market Hypothesis (EMH) holds that the current stock prices fully reflect all security market information. Thus, today’s price change is unrelated to other day’s price change. If the new information arrives randomly, then prices will change randomly. Historical price and volume data for securities contain no information may use to earn excess returns. Specifically, weak form efficiency states that technical analysis is ineffective and that prices are on a random walk. However, the buy-and-hold strategy is the most useful way that can outperform the trading rule based solely on past price data. Therefore, technical analysis cannot be used to predict and beat a market.
1.4.2半强势效率形式-1.4.2 Semi-Strong Form Efficiency
Semi-strong form of the Efficient Market Hypothesis (EMH) holds that the publicly available information cannot be used to earn the abnormally large profits consistently. This information includes not only past price and volume data but also data such as corporate earnings, dividends, and stock split. Basically it is concerned with the speed at which information is disseminated to investors. Generally, this form of Efficient Market Hypothesis (EMH) is supported by the position that stock prices adjust rapidly to new information.#p#分页标题#e#
In fact, a famous study involved stock splits. The value of the company does not be affected by a stock split. However, Woolridge and Chambers (1983) and GMT discuss a version of the "trading range" hypothesis that incorporates asymmetric information and permits a signaling explanation for the increase in share prices when firms announce stock splits. Therefore, investors cannot gain by purchasing stocks on or after the announcement of a split. As a result, investors are impossible to make excess returns on the available public information in the semi strong form Efficient Market Hypothesis (EMH).
1.4.3强式效率-1.4.3 Strong Form Efficiency
Strong form of the Efficient Market Hypothesis (EMH) holds that there is no information including public and private that allows investors to constantly earn abnormal returns. It means that any information even if it is not available to every investor called “insider trading” reflected on the stock prices. As illustration, a board of directors has access to valuable information about major strategic and tactical decisions the company makes. Corporate insiders then may legally trade shares in company by report the transactions to the Securities and Exchange Commission (SEC) each month. If the market is strongly efficient, the corporate insiders would not earn any abnormal return after transactions have been made public within several weeks. Subsequently, there is no group of investors may have the monopolistic access to information relevant to the formation of prices.
1.5有效市场假说的影响(EMH)-1.5 Implication of Efficient Market Hypothesis (EMH)
1.5.1技术分析-1.5.1 Technical Analysis
Technical analysis is a study in pattern which predictable and recurs in stock prices. Technicians recognize information of future economic is not necessary for a successful trading strategy. This is because the rationale for change in stock price, if the stock prices change slowly, the analyst able to recognize flow and adjust at that time. Major technical analysis succeed is slow response of stock prices to essential supply and demand factors. Technical analysis is study records or charts of past stock prices to find patterns make a profit. An example of technical analysis is relative strength approach which is chartist to compares stock performance over recent period in the same industry. If the ratio increases over time, the stock is exhibit strength to offer profit opportunities.
Efficient Market Hypothesis (EMH) implies technical analysis is not excellence. The past history prices and trade volume may be obtained at minimum cost. Therefore, any information may be obtained from study past price has been reflected in stock price. Investor use knowledge to drive stock prices where expected returns are corresponding with risk.
1.5.2基本面的分析-1.5.2 Fundamental Analysis
Fundamental analysis is use to determine stock price which uses prospect for future interest rates, risk of the firm, earnings and dividend forecast of the firm. If present discounted value more than the stock price, the fundamental analyst would advise for buying the stock. Usually fundamental analysts study past earnings, company balance sheets and evaluation of the quality firm management. Its gives analysts further detailed on economic analysis.
Efficient Market Hypothesis (EMH) implies fundamental analysis also destined to difficult. If analyst relies on available earnings and industry information, the evaluation of firm forecast is not likely to be correct. Many firm conducting market research and face this kind of competition will be difficult to expose data. Analysts can only make money if superior than competitor since market price already reflects all commonly available information.
1.6随机游走假说(RWH)-1.6 Random Walk Hypothesis (RWH)
The Random Walk Hypothesis (RWH) states that the current market price is the best indicator of the future market prices with an error term that is stochastic in nature. The stochastic nature of share price variations implies that there is no persistency in stocks return. In weak form, Random Walk Hypothesis (RWH) postulates that successive on period stock returns are independently.
These two requirements constituted the foundation of the Random Walk Hypothesis (RWH) by Fama. The important consequence is that best predictor of tomorrow stock prices is today stock price whether get expected gain or loss for any holding period is zero. The second is that the stock price series does not contain any purely cyclical or seasonal trend. Maghyereh (2003) examines stock prices in behavior of Amman Stock Exchange (ASE) from period 1994 to 2002. It determines the extent to which daily returns of securities listed on the ASE conform to the Random Walk Hypothesis (RWH). Result shows that ASE return series is inconsistent with the Random Walk Hypothesis (RWH).
In an efficient market, it is impossible to make profit based on the past information. Hence, the prediction of future price conditional on the past prices on an average should be zero. The more efficient a market is, the more random and unpredictable the market returns would be which implies that the future prices will be totally random. According to Charles and Darne (2009) found that A share Chinese stock market more efficient but B share do not follow Random Walk Hypothesis (RWH) which is inefficient.
1.7问题陈述-1.7 Problem Statement
In Malaysia, the number of studies conducted for this topic is still very limited. According to Boudreaux (1995), there was a study performed on Denmark, France, Germany, Norway, Singapore, Malaysia, Spain and Switzerland, but no study has been carried out thoroughly on the stock market returns on Asian countries.
The existence of seasonality in the stock market implies that there is a possibility of obtaining abnormal gains by using market timing strategies and this existence is considered an anomaly because it departs from the Efficient Market Hypothesis (EMH). Therefore, these findings perhaps or possibly do not contradict the Efficient Market Hypothesis (EMH). Such findings of calendar anomalies as for example, Chinese New Year anomaly appear to contradict the Efficient Market Hypothesis (EMH) since it imply that investors could design specific trading strategies to reap abnormal profit from seasonal regularities.
1.8研究目标-1.8 Research Objectives
Specifically, this study is attempts to identify the Chinese New Year anomaly influence the market performance in term of return. During the Chinese New Year, irrational investors will think that market is fairly active due to the majority of the active investors in the Asian countries are Chinese. Hence, speculators will try to gain some abnormal returns during the days before the Chinese New Year fall.
The first objective of this research study is to examine the existence of the market efficiency in stock market for seven Asian countries which are Malaysia, Hong Kong, China, Taiwan, Singapore, Korea and Indonesia. While the second objective of this research study is designed to test the presence of the Chinese New Year anomaly in the stock market of different Asian countries.
This leads to the formation of the objectives below:
(a) To examine whether the Asian stock markets hold the theory of market efficiency.
(b) To examine whether the Chinese New Year anomaly still persists in Asian stock
markets.
1.9研究问题-1.9 Research Questions
“Is there any Chinese New Year anomaly on Asian stock markets?” Further exploration of the concept being stated in question above and leads to the research questions to be addressed in this study are as follow:
(a) Are Asian stock markets efficient?
(b) Does the Chinese New Year anomaly still exist in Asian stock markets?
1.10研究的理由-1.10 Justification of Study
This research could give managers and also investors on the general behavior of the stock market in the relation with the Chinese New Year anomaly. Investors will be able to make better investment decision if the Chinese New Year anomaly is hold. Beside, investors also will be able to develop better investment strategies to earn abnormal returns by identifying the market anomalies, such as Chinese New Year anomaly.
1.11假设语句-1.11 Hypothesis Statements
There are two hypothesis statements being set up which were to identify whether the market was efficient and whether there is a presence of Chinese New Year anomaly in Asian stock markets.
Null hypothesis set on market is efficient and it follows random walk nature when the series of returns have a unit root (non-stationary). In other words, it do not reject null hypothesis when p-value > 0.1. On the other hand, it shows that the market is inefficient and implies that there is a possibility presence of Chinese New Year anomaly in Asian stock markets when the series of returns have no unit root (stationary) and it reject null hypothesis when p-value < 0.1 (Lim Boon Keong, David Ng Ching Yat and Chong Hui Ling, 2010).#p#分页标题#e#
Hypothesis 1
H0: There is market efficiency in Asian stock markets
H1: There is no market efficiency in Asian stock markets
Whereas hypothesis 2 based on whether there is presence of Chinese New Year anomaly in Asian stock markets. The hypothesis statements indicate whether to accept or reject the null hypotheses while the variables are significant or not depend on the p-value and confidence interval of 1, 5 and 10%.
If the p-value is greater than 0.1, the null hypothesis will not be rejected and shows that there is no Chinese New Year anomaly exist in Asian stock markets. On the other hand, if the p-value is less than 0.1, the null hypothesis is rejected, as there is a Chinese New Year anomaly exists in Asian stock markets (Lim Boon Keong, David Ng Ching Yat and Chong Hui Ling, 2010).
Hypothesis 2
H0: There is no Chinese New Year anomaly in Asian stock markets
H1: There is Chinese New Year anomaly in Asian stock markets
1.12组织的研究-1.12 Organization of Study
This research study consists of five chapters. Chapter one highlights the background of the study, problem statement, research objectives, research questions, and justification of study. It introduces the general understanding of the study. In chapter two, there are reviews of previous work conducted regarding the Chinese New Year anomaly as well as others market anomalies being outline. Chapter three discussing the method used in the research study. While the chapter four discussing and interpreting the result of findings. Lastly, conclusions and recommendations will be presented in chapter five.
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