請用此 Handle URI 來引用此文件:
http://tdr.lib.ntu.edu.tw/jspui/handle/123456789/8627
完整後設資料紀錄
DC 欄位 | 值 | 語言 |
---|---|---|
dc.contributor.advisor | 黃志典(Jyh-Dean Hwang) | |
dc.contributor.author | Chang-Hsu Liu | en |
dc.contributor.author | 劉張旭 | zh_TW |
dc.date.accessioned | 2021-05-20T19:59:03Z | - |
dc.date.available | 2013-07-12 | |
dc.date.available | 2021-05-20T19:59:03Z | - |
dc.date.copyright | 2010-07-12 | |
dc.date.issued | 2010 | |
dc.date.submitted | 2010-06-30 | |
dc.identifier.citation | 1.中文文獻
1.李春旺,1988年,「股票行為與規模效應:臺灣股票市場實證研究」,國立政治大學企業管理學研究所博士論文。 2.林伯諺,2000年,「一月效應與盈餘成長力之關聯性研究」,國立政治大學會計學研究所碩士論文。 3.范辛亭、董文卓,2007年,「中國股票市場的月份效應」,中山大學學報(社會科學版),2007年第3期,97-104頁。 4.郭軒岷,1998年,「台灣金融市場季節性之研究:股票市場、外匯市場、貨幣市場之實證」,國立台灣大學國際企業管理學研究所碩士論文。 5.黃志典,2010年,「台灣金融資產報酬率分析」,國立台灣大學國際企業學研究所Working Paper。 6.黃俊郁,1985年,「股票投資報酬週末效應之研究」,國立政治大學企業管理學研究所碩士論文。 7.楊踐為,1998年,「臺灣店頭市場週末效應之GARCH模型檢定」,證券櫃臺月刊,第21期,1-12頁。 8.董大勇、金煒東、鄭瑤,2006年,「收益率週末效應中的非理性因素」,統計與決策,2006年第22期,97-99頁。 9.詹淑慧、王嘉隆,2007年,「從投資人交易活動探討臺灣加權股價指數之星期效應」,經營管理論叢,第3卷第2期,47-58頁。 10.劉志亭、張慧云,2006年,「上證180指數『週末效應』的實證分析」,青島科技大學學報,第27卷第4期,359-362頁。 11.劉鳳元、陳俊芳,2004年,「換月效應的窗飾解釋:基於上海市場的實證」,數量經濟技術經濟研究,2004年第3期,149-154頁。 12.劉麗瑜,1991年,「台灣股市之一月效果與其形成因素之探討」,國立台灣大學商學研究所碩士論文。 13.蔡明輝,1991年,「臺灣股市『春節效果』之實證研究」,國立臺灣大學商學研究所碩士論文。 14.鄭智成,1993年,「臺灣與國際股市週日效應的比較」,國立臺灣大學商學研究所碩士論文。 15.顏吉利、張清福,1985年,「春節休市與股價變動-半強式訊息效率臆說的再探討」,中國經濟學會年會論文集,123-152頁。 2.外文文獻 1.Aggarwal, R. and Rivoli, P., 1989,“Seasonal and Day-of-the-Week Effects in Four Emerging Stock Markets,”The Financial Review, Vol.24, No.4, pp.541-550. 2.Ariel, R. A., 1987,“A Monthly Effect in Stock Returns,”Journal of Financial Economics, Vol.18, No.1, pp.161-174. 3.Ariel, R. A., 1990,“High Stock Returns before Holidays: Existence and Evidence on Possible Causes,”Journal of Finance, Vol.45, No.5, pp.1611-1626. 4.Baker, M. and Wurgler, J., 2006,“Investor Sentiment and the Cross-Section of Stock Returns,”Journal of Finance, Vol.61, No.4, pp.1645-1680. 5.Bonin, J. M. and Moses, E. A., 1974,“Seasonal Variations in Prices of Individual Dow-Jones Industrial Stocks,”Journal of Financial and Quantitative Analysis, Vol.9, No.6, pp.963-991. 6.Brusa, J. and Liu, P., 2004,“The Day-of-the-Week and Week-of-the-Month Effects: An Analysis of Investors' Trading Activities,”Review of Quantitative Finance and Accounting, Vol.23, No.1, pp.19-30. 7.Cadsby, C. B., Ratner, M., 1992,“Turn-of-Month and Pre-Holiday Effects on Stock Returns: Some International Evidence,”Journal of Banking & Finance, Vol.16, No.3, pp.497-509. 8.Chan, M.W.L., Khanthavit, A. and Thomas, H., 1996,“Seasonality and Cultural Influences on Four Asian Stock Markets,”Asia Pacific Journal of Management, Vol.13, No.2, pp.1-24. 9.Chen, C. R., 1996,“January Seasonality in Preferred Stocks,”The Financial Review, Vol.31, No.1, pp.197-207. 10.Chow, E. H., Hsiao, P. and Solt, M. E., 1997,“Trading Returns for the Weekend Effect Using Intraday Data,”Journal of Business Finance & Accounting, Vol.24, No.3, pp.425-444. 11.Constantinides, G. M., 1984,“Optimal Stock Trading with Personal Taxes: Implications for Prices and the Abnormal January Returns,”Journal of Financial Economics, Vol.13, No.1, pp.65-89. 12.Corhay, A., Hawawini, G. and Michel, P., 1987,“Seasonality in the Risk-Return Relationship Some International Evidence,”Journal of Finance, Vol.42, No.1, pp.49-68. 13.Cross, F., 1973,“The Behavior of Stock Prices on Fridays and Mondays,”Financial Analysts Journal, Vol.29, No.6, pp.67-69. 14.Deldin, P. J. and Levin, I. P., 1986,“The effect of mood induction in a risky decision-making task,”Bulletin of the Psychonomic Society. Vol 24, No.1, pp.4-6. 15.Fountas, S. and Segredakis, K. N., 2002,“Emerging Stock Markets Return Seasonalities: The January Effect and the Tax-Loss Selling Hypothesis,”Applied Financial Economics, Vol.12, No.4, pp.291-299. 16.French, K. R., 1980,“Stock Returns and the Weekend Effect,”Journal of Financial Economics, Vol.8, No.1, pp.55-69. 17.Gibbons, M. R. and Hess, P., 1981,“Day of the Week Effects and Assets Returns,”Journal of Business, Vol.54, No.4, pp.579-596. 18.Gu, A., 2004,“The Reversing Weekend Effect: Evidence from U.S. Equity Markets,”Review of Quantitative Finance and Accounting, Vol.22, No.1, pp.5-14. 19.Gultekin, M. N. and Gultekin, N. B., 1983,“Stock Market Seasonality: International Evidence,”Journal of Financial Economics, Vol.12, No.4, pp.469-481. 20.Harris, L., 1986,“A Transaction Data Study of Weekly and Intraday Patterns in Stock Returns,”Journal of Financial Economics, Vol.16, No.1, pp.99-117. 21.Ho, Y. K., 1990,“Stock Return Seasonalities in Asia Pacific Markets,”Journal of International Financial Management & Accounting, Vol.2, No.1, pp.47-77. 22.Jaffe, J. and Westerfield, R., 1985,“The Week-End Effect in Common Stock Returns: The International Evidence,”Journal of Finance, Vol.40, No.2, pp.433-454. 23.Kato, K. and Schallheim, J. S., 1985,“Seasonal and Size Anomalies in the Japanese Stock Market,”Journal of Financial and Quantitative Analysis, Vol.20, No.2, pp.234-260. 24.Keim, D. B. and Stambaugh, R. F., 1984,“A Further Investigation of the Weekend Effect in Stock Returns,”Journal of Finance, Vol.39, No.3, pp.819-835. 25.Keim, D. B., 1983,“Size-Related Anomalies and Stock Return Seasonality: Further Empirical Evidence,”Journal of Financial Economics, Vol.12, No.1, pp.13-32. 26.Lakonishok, J. and Levi, M., 1982,“Weekend Effect on Stock Returns: A Note,”Journal of Finance, Vol.37, No.3, pp.883-889. 27.Lakonishok, J. and Smidt, S., 1988,“Are Seasonal Anomalies Real? A Ninety-Year Perspective,”Review of Financial Studies, Vol.1, No.4, pp.403-425. 28.Lee, I., 1992,“Stock Market Seasonality: Some Evidence from the Pacific-Basin Countries,”Journal of Business Finance & Accounting, Vol.19, No.2, pp.199-210. 29.Mehdian, S. and Perry, M. J., 2001,“The Reversal of the Monday Effect: New Evidence from US Equity Markets,”Journal of Business Finance and Accounting, Vol.28, No.7&8, pp.1043-1065. 30.Officer, R. R., 1975,“Seasonalities in Australian Capital Markets: Market Efficiency and Empirical Issues,”Journal of Financial Economics, Vol.2, No.1, pp.29-51. 31.Ogden, J. P., 1987,“The End of the Month as a Preferred Habitat: A Test of Operational Efficiency in the Money Market,”Journal of Financial and Quantitative Analysis, Vol.22, No.3, pp.329-344. 32.Ogden, J. P., 1990,“Turn-of-the-Month Evaluations of Liquid Profits and Stock Returns: A Common Explanation for the Monthly and January Effects,”Journal of Finance, Vol.45, No.4, pp.1259-1272. 33.Reinganum, M. R., 1983,“The Anomalous Stock Market Behaviour of Small Firms in January: Empirical Tests for Tax-Loss Selling Effects,”Journal of Financial Economics, Vol.12, No.1, pp.89-104. 34.Rogalski, R. J. and Tinic, S. M., 1986,“The January Size Effect: Anomaly or Risk Mismeasurement,”Financial Analysis Journal, Vol.42, No.6, pp.63-70. 35.Rogalski, R. J., 1984,“New Findings Regarding Day-of-the-Week Returns over Trading and Non-Trading Period,”Journal of Finance, Vol.39, No.5, pp.1603-1614. 36.Rozeff, M. S. and Kinney, W. R., 1976,“Capital Market Seasonality: The Case of Stock Returns,”Journal of Financial Economics, Vol.3, No.4, pp.379-402. 37.Tinic, S. M., Barone-Ades, G. and West, R. R., 1987,“Seasonality in Canadian Stock Prices: A Test of Tax Loss Selling Hypothesis,”Journal of Financial and Quantitative Analysis, Vol.22, No.1, pp.51-63. 38.Tong, W. H. S., 1992,“An Analysis of the January Effect of United States, Taiwan and South Korean Stock Returns,”Asia Pacific Journal of Management, Vol.9, No.2, pp.189-207. 39.Wang, K., Li, Y. and Erickson, J., 1997,“A New Look at the Monday Effect,”Journal of Finance, Vol.52, No.5, pp.2171-2186. 40.Wong, K. A., 1995,“Is There an Intra-Month Effect on Stock Returns in Developing Stock Markets?,”Applied Financial Economics, Vol.5, No.5, pp.285-289. 41.Wong, P. L., Neoh, S. K., Lee, K. H. and Thong, T. S., 1990,“Seasonality in the Malaysian Stock Market,”Asia Pacific Journal of Management, Vol.7, No.2, pp.43-62. 42.Ziemba, W. T., 1991,“Japanese Security Market Regularities: Monthly, Turn-of-the-Month and Year, Holiday and Golden Week Effects,”Japan and World Economy, Vol.3, No.2, pp.119-146. | |
dc.identifier.uri | http://tdr.lib.ntu.edu.tw/jspui/handle/123456789/8627 | - |
dc.description.abstract | 本文以英、美以及東亞等10個股票市場為研究對象,研究目的有以下3點:(1)檢定國際主要股票市場是否存在星期效應、假日效應、換月效應、月份效應。(2)檢定標準由0改為平均報酬率,並比較日曆異常效應的檢定結果是否改變。(3)將現金股利納入考量,以報酬指數檢定台灣股票市場是否存在日曆異常效應。
本文主要發現如下: 1.各股票市場存在星期效應,只是出現顯著正或負報酬率的時間隨著股票市場不同而不同。但星期效應在各國有減弱的現象。 2.各股票市場存在不同型態的假日效應,且以3日以上休假前的假日效應最為常見。此外,休假前報酬率,除日本、美國、英國外,都呈現隨著假日天數增加而增加的趨勢。 3.各股票市場的換月效應主要集中在交易日-1至交易日+4之間。但是,日本的換月效應發生在交易日-5至交易日+2之間,馬來西亞的換月效應則發生在交易日-9至交易日-7之間。 4.南韓、中國上海以及美國股票市場不存在月份效應。只有台灣以及英國股票市場存在元月效應。 5.將檢定標準從0改為平均報酬率之後,各國日曆異常效應分佈型態產生很大的變化。 6.有無考量發放現金股利,不影響星期效應、假日效應、換月效應以及月份效應的檢定結果。 | zh_TW |
dc.description.abstract | The paper implements a comparative study of calendar anomalies in international stock markets. The paper has three purposes. First is to test the existence of calendar anomalies. Second is to shift test standard from zero to the average return rate, and to test whether the calendar anomalies exist. Third is to take dividends into consideration and recalculate the total return index. We could apply this index to re-test the calendar anomalies in Taiwan stock market.
The following phenomena are observed: 1.The day of the week effect exists but the return rate varies with stock markets and also decreases over time. 2.Among these various holiday effects, the most common one appears before the holiday of 3 days or more. In addition, there is a positive correlation between pre-holiday return rate and the number of holidays in all stock markets excluding Japan, U.S. and U.K. 3.The turn of the month effect in Japan stock market occurs during the period of trading days -5 to +2. In Malaysia, it occurs during the period of trading days -9 to -7. In the remaining stock markets, it occurs during the period of trading days -1 to +4. 4.The monthly effect exists in all stock markets excluding Korea, Shanghai and U.S.. The January effect exists only in Taiwan and U.K. stock markets. 5.When test standard is changed into the average return rate , the distribution of calendar anomalies varies dramatically. 6.The payment of dividends does not affect the test result of calendar anomalies. | en |
dc.description.provenance | Made available in DSpace on 2021-05-20T19:59:03Z (GMT). No. of bitstreams: 1 ntu-99-R97724077-1.pdf: 981135 bytes, checksum: 65ffe7659b5c84f457322c49f12672cb (MD5) Previous issue date: 2010 | en |
dc.description.tableofcontents | 謝辭 I
論文摘要 II ABSTRACT III 目錄 IV 圖目錄 VI 表目錄 VI 第1章 緒論 1 1.1 研究動機 1 1.2 研究目的 2 1.3 研究架構 2 第2章 文獻回顧 4 2.1 星期效應 4 2.2 假日效應 7 2.3 換月效應 8 2.4 月份效應 10 第3章 研究對象、期間以及實證方法 14 3.1 研究對象與研究期間 14 3.2 資料來源與變數定義 15 3.3 實證方法 16 3.3.1 t檢定 16 3.3.2 Wilcoxon signed-rank檢定 16 3.4 建立假說 17 3.4.1 星期效應的假說 18 3.4.2 假日效應的假說 18 3.4.3 換月效應的假說 19 3.4.4 月份效應的假說 20 第4章 實證結果分析 21 4.1 星期效應之實證分析 21 4.2 假日效應之實證分析 23 4.3 換月效應之實證分析 26 4.4 月份效應之實證分析 27 第5章 結論與建議 41 5.1 實證結論 41 5.1.1 星期效應實證 41 5.1.2 假日效應實證 41 5.1.3 換月效應實證 42 5.1.4 月份效應實證 42 5.2 建議 42 參考文獻 44 1.中文文獻 44 2.外文文獻 45 附錄A:報酬指數的編製 50 附錄B:WILCOXON SIGNED-RANK檢定實證結果以及機率表 51 | |
dc.language.iso | zh-TW | |
dc.title | 日曆異常效應:國際主要股票市場之比較研究 | zh_TW |
dc.title | Calendar Anomalies:A Comparative Study of International Equity Markets | en |
dc.type | Thesis | |
dc.date.schoolyear | 98-2 | |
dc.description.degree | 碩士 | |
dc.contributor.oralexamcommittee | 陳明賢(Ming-Shen Chen),胡星陽(Shing-Yang Hu) | |
dc.subject.keyword | 日曆異常,星期效應,假日效應,換月效應,月份效應, | zh_TW |
dc.subject.keyword | calendar anomalies,day of the week effect,holiday effect,turn of the month effect,monthly effect, | en |
dc.relation.page | 61 | |
dc.rights.note | 同意授權(全球公開) | |
dc.date.accepted | 2010-06-30 | |
dc.contributor.author-college | 管理學院 | zh_TW |
dc.contributor.author-dept | 國際企業學研究所 | zh_TW |
顯示於系所單位: | 國際企業學系 |
文件中的檔案:
檔案 | 大小 | 格式 | |
---|---|---|---|
ntu-99-1.pdf | 958.14 kB | Adobe PDF | 檢視/開啟 |
系統中的文件,除了特別指名其著作權條款之外,均受到著作權保護,並且保留所有的權利。