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題名 The Shift of Weekend Effects in Taiwan`s Equity Index Return：Index Futures Listings or Other Alternative Explanations
作者 杜化宇
關鍵詞 Day-of-the-week effects; index futures; weekend effects; spillover effects
日期 2004-01
上傳時間 5-Nov-2008 17:00:50 (UTC+8)
摘要 This paper investigates the impact of index futures tradings on day-of-the-week effects for the equity index in Taiwan`s equity market. Using the extensive model of Hiraki, Maberly and Taube (1998), the empirical findings support the hypothesis that the introduction of index futures has a significant impact on the return structure, both in terms of daily seasonalities and the lag effects of past returns on current returns. Of particular interest, Tuesday effects gradually disappeared after the introduction of index futures, and in the post-futures period, Monday returns are found to be anomalous. After controlling non-normality of the error distribution and time-varying conditional variance, the results indicate that the Monday and the Tuesday effects co-exist after the index futures listings. Although the US equity market is shown to have a strong influence on the Taiwan`s market, the pattern of weekend effects shift remains unchanged after taking the US spillover into account. The closing of Saturday trading is found to be a partial cause of the observed shift.
關聯 Review of Pacific Basin Financial Markets and Policies, 6, 549-572
資料類型 article
DOI http://dx.doi.org/10.1142/S0219091503001195
dc.creator (作者) 杜化宇zh_TW
dc.date (日期) 2004-01en_US
dc.date.accessioned 5-Nov-2008 17:00:50 (UTC+8)-
dc.date.available 5-Nov-2008 17:00:50 (UTC+8)-
dc.date.issued (上傳時間) 5-Nov-2008 17:00:50 (UTC+8)-
dc.identifier.uri (URI) https://nccur.lib.nccu.edu.tw/handle/140.119/6120-
dc.description.abstract (摘要) This paper investigates the impact of index futures tradings on day-of-the-week effects for the equity index in Taiwan`s equity market. Using the extensive model of Hiraki, Maberly and Taube (1998), the empirical findings support the hypothesis that the introduction of index futures has a significant impact on the return structure, both in terms of daily seasonalities and the lag effects of past returns on current returns. Of particular interest, Tuesday effects gradually disappeared after the introduction of index futures, and in the post-futures period, Monday returns are found to be anomalous. After controlling non-normality of the error distribution and time-varying conditional variance, the results indicate that the Monday and the Tuesday effects co-exist after the index futures listings. Although the US equity market is shown to have a strong influence on the Taiwan`s market, the pattern of weekend effects shift remains unchanged after taking the US spillover into account. The closing of Saturday trading is found to be a partial cause of the observed shift.-
dc.format application/en_US
dc.language enen_US
dc.language en-USen_US
dc.language.iso en_US-
dc.relation (關聯) Review of Pacific Basin Financial Markets and Policies, 6, 549-572en_US
dc.subject (關鍵詞) Day-of-the-week effects; index futures; weekend effects; spillover effects-
dc.title (題名) The Shift of Weekend Effects in Taiwan`s Equity Index Return：Index Futures Listings or Other Alternative Explanationsen_US
dc.type (資料類型) articleen
dc.identifier.doi (DOI) 10.1142/S0219091503001195en_US
dc.doi.uri (DOI) http://dx.doi.org/10.1142/S0219091503001195en_US