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    Please use this identifier to cite or link to this item: http://tkuir.lib.tku.edu.tw:8080/dspace/handle/987654321/31484

    Title: 臺灣期貨市場假日效應之研究
    Other Titles: Holidays and return patterns of Taiwan index futures markets
    Authors: 蕭婷方;Hsiao, Ting-fang
    Contributors: 淡江大學財務金融學系碩士班
    謝文良;Hsieh, Wen-liang
    Keywords: 假日效應;異常報酬;日曆異常現象;存貨調整假說;Holidays Effect;Weekend Effects;Inventory Adjustment Hypothesis;Anomalies
    Date: 2007
    Issue Date: 2010-01-11 00:48:27 (UTC+8)
    Abstract: 自1988年起,陸續有許多實證研究顯示個股和加權股價指數的報酬都存在著系統性的變化,這些系統性變化也就是日曆異常現象,包括元月效應、週末效應和假日效應,而其中以假日效應最強烈、也最為明顯。假日效應是指在假日前幾天交易日的報酬會顯著的高於一般交易日的平均報酬,而假日後幾天交易日的報酬會顯著低於一般交易日的報酬,近幾年也陸續在期貨市場發現顯著的假日效應。本論文以臺指期貨、電子期貨、金融期貨以及小型臺指期貨為例,驗證假日異常報酬效應是否存在台灣的期貨市場。研究結果顯示,假日前的平均報酬大致高於一般交易日的平均報酬,但並不顯著異於一般交易日的報酬;在假日後報酬方面,假日後平均報酬普遍低於一般交易日報酬,只有在涵蓋週末的假日定義下,假日後報酬顯著低於一般交易日的報酬,表示假日效應並不顯著。此外,假日前當日和一般交易日報酬為正的天數在卡方檢定下沒有顯著的差異,說明投資人在假日前交易獲取正報酬的機率並不顯著大於一般交易日。
    Empirical evidence reveals the present of abnormal returns for the day preceding holidays in the equity markets and limited futures markets. In this paper, we have no evidence of significantly higher pre-holiday returns, but a slightly weaker effect is observed in the post-holiday trading in Taiwan futures markets. When we examine trading days individually, only a post-holiday effect for weekend holidays is obvious. The post-holiday effect doesn’t exist anymore after adjusting returns for the Weekend effect. Hence, the post-holiday effect is due to the Weekend effect.
    Inventory adjustment hypothesis, other seasonal anomalies and the favorable holiday moods are three possible explanations for the excess holiday returns, but they are not evident in trading process. Therefore, the holiday effect is not existence in Taiwan Futures Markets.
    Appears in Collections:[財務金融學系暨研究所] 學位論文

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