Are There any Regular Variations in the Taiwan Stock Market: A Case Study of Taiwan Stock Exchange Capitalization Weighted Stock Index (TAIEX)

Abstract

This study explores whether there is any regular effect in the Taiwan Stock Market based on the January Effect in US stock market and the December Effect in Chinese money market funds. The large cap closing index and large cap turnover data from a database of Taiwan Economic Journal (TEJ) for the period from January 2000 to December 2013 were used to verify whether there are any seasonal effects on Taiwan Stock Market using a simple Ordinary Least Squares (OLS) regression model in SPSS 20, with daily large cap index and turnover data of the Taiwan Stock Market as variables. The verification results showed there is a seasonal effect in the Taiwan Stock Market, especially in Winter, in which the effect is most significant. The research yields useful reference information for investors, scholars and government authorities in their decision-making process for more profits.