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題名 月轉換效應
作者 劉威醇
貢獻者 徐燕山
劉威醇
關鍵詞 月轉換效應
元月效應
週末效應
日期 2008
上傳時間 14-九月-2009 09:06:51 (UTC+8)
摘要 許多實証研究發現股票市場存著月轉換期間效應,即每月最後幾個交易至次月前幾個交易日的報酬率顯著高於其他交易日期間,本研究將針對台灣股票市場於月轉換期間是否亦有此效應進行研究。
參考文獻 一、 中文參考文獻:
王彥茸,2000,「台灣實施隔週休二日制度對股市報酬率之影響」,國立中央大學企業管理研究所碩士論文。
李春旺,1989,「股價行為與規模效應:台灣股票市場實證研究」,國立政治大學企業管理研究所博士論文。
翁弘林,1994,「臺灣股市中異常現象之實證研究─以月份效應為例」,國立中興大學企管研究碩士論文。
二、 英文參考文獻:
Aggarwal, Reena and Pietra Rivoli, 1989 , “Seasonal and Day-of-the-Week Effects in Four Emerging Stock Markets, ” Financial Review ,Vol 24, 541–550.
Agrawal, A and Tandon K, 1994 , “Anomalies or illusions? Evidence from stock markets in eighteen countries,”Journal of International Money and Finance, Vol 13, 83–100.
Cadsby, C and M Radner, 1992 ,“Turn-of-month and pre-holiday effects on stock returns: some international 359 evidence,” Journal of Banking and Finance, Vol 16, 497–509.
Chan, M.W.L., A, Khanthavit and H Thomas, 1997 ,”Seasonality and Cultural Influences on Four Asian Stock Markets,”Asia Pacific Journal of Management, Vol 13, 1-24.
Cheng, Y., R,Ho and K,Wong, 1994 ,“Return and Risk Premium Seasonality in the Emerging Asian Markets,”Journal of Financial Management and Accounting, Vol 94, 223-241.
Cross ,Frank, 1973 , “The Behavior of Stock Price on Friday and Monday, ”Journal of finance, 67-90.
French, K, 1980 , “ Stock Returns and the Weekend Effect, ”Journal of Financial Economics ,Vol 8, 55-69.
Gultekin, M. N and N. B. Gultekin, 1983 ,“Stock Market Seasonality: International Evidence,”Journal of Financial Economics, Vol 12, 469-481.
Jaffe,J.F and R.W.Westerfield ,1985 , “The Weekend Effect in Common Stock Return : The International Evidence,”Journal of Business , Vol 40, 433-454.
Kato, K ,1990 , “Weekly Patterns in Japanese Stock Returns, ” Management Science ,Vol 36 , 1031 - 1043.
Kunkel,Robert A., William S,Compton and Scott Beyer , 2003 , “The turn-of-the-month effect still lives: the international evidence,” International Review of Financial Analysi s, 207-221.
Lakonishok ,Josef and Seymour,Smidt ,1988 , “Are Seasonal Anomalies Real? A Ninety-Year Perspective, ”The Review of Financial Studies , Vol 1, 403-425.
Lee,Insup, 1992 ,“Stock Market Seasonality:Some Evidence from the Pacific-Basin Countries,” Journal of Business Finance and Accounting, 199-210.
Najand ,M and K. Yung ,1994 , “Conditional Heteroskedasticity and the Weekend Effect in S&P 500 Index Futures, ” Journal of Business Finance and Accounting, Vol 21, 603–612.
Rozeff, M. S and W. R. Kinney ,1976 , “Capital Market Seasonality: The Case of Stock Returns,” Journal of Financial Economics, Vol 3, 379-402.
Tong, W. H. S ,1992 ,“The Analysis of Stock Return Anomalies in the Asia Markets(Taiwan and South Korea) and an Examination of Dynamic Hedging, ” Doctoral Dissertation, Arizona State University.
Wang, Y and M. M. Walker , 2000 ,“An Empirical Test of Individual and Institutional Trading Patterns in Japan, Hong Kong, and Taiwan, ” Journal of Economics and Finance , Vol 24, 178 - 194.
Xu ,Wei and John. J. McConnell , 2008 ,“Equity Returns at the Turn of Month, ”Financial Analysts Journal , Vol 64, 49-65
Zinbarg, E. D, 1964 ,“The Stock Market`s Seasonal Pattern, ” Financial Analysts Journal , Vol 20, 53-67.
描述 碩士
國立政治大學
財務管理研究所
96357032
97
資料來源 http://thesis.lib.nccu.edu.tw/record/#G0963570321
資料類型 thesis
dc.contributor.advisor 徐燕山zh_TW
dc.contributor.author (作者) 劉威醇zh_TW
dc.creator (作者) 劉威醇zh_TW
dc.date (日期) 2008en_US
dc.date.accessioned 14-九月-2009 09:06:51 (UTC+8)-
dc.date.available 14-九月-2009 09:06:51 (UTC+8)-
dc.date.issued (上傳時間) 14-九月-2009 09:06:51 (UTC+8)-
dc.identifier (其他 識別碼) G0963570321en_US
dc.identifier.uri (URI) https://nccur.lib.nccu.edu.tw/handle/140.119/31039-
dc.description (描述) 碩士zh_TW
dc.description (描述) 國立政治大學zh_TW
dc.description (描述) 財務管理研究所zh_TW
dc.description (描述) 96357032zh_TW
dc.description (描述) 97zh_TW
dc.description.abstract (摘要) 許多實証研究發現股票市場存著月轉換期間效應,即每月最後幾個交易至次月前幾個交易日的報酬率顯著高於其他交易日期間,本研究將針對台灣股票市場於月轉換期間是否亦有此效應進行研究。zh_TW
dc.description.tableofcontents 第一章 緒論 - 3 -
     第一節 研究背景與動機 - 3 -
     第二節 研究目的與架構 - 5 -
     第二章 文獻探討 - 6 -
     第一節 元月效應 - 6 -
     第二節 星期效應 - 8 -
     第三節 月轉換效應 - 10 -
     第三章 研究設計 - 12 -
     第一節 研究主題名詞定義及樣本選取 - 12 -
     第二節 實證方法 - 15 -
     第四章 實證結果與分析 - 21 -
     第一節 月轉換效應敘述統計 - 22 -
     第二節 月轉換效應統計檢定 - 28 -
     第三節 二項檢定 - 35 -
     第四節 期貨市場建立與月轉換效應 - 36 -
     第五章 結論與建議 - 44 -
     第一節 研究結論 - 44 -
     第二節 後續研究建議 - 46 -
     參考文獻 - 47 -
zh_TW
dc.language.iso en_US-
dc.source.uri (資料來源) http://thesis.lib.nccu.edu.tw/record/#G0963570321en_US
dc.subject (關鍵詞) 月轉換效應zh_TW
dc.subject (關鍵詞) 元月效應zh_TW
dc.subject (關鍵詞) 週末效應zh_TW
dc.title (題名) 月轉換效應zh_TW
dc.type (資料類型) thesisen
dc.relation.reference (參考文獻) 一、 中文參考文獻:zh_TW
dc.relation.reference (參考文獻) 王彥茸,2000,「台灣實施隔週休二日制度對股市報酬率之影響」,國立中央大學企業管理研究所碩士論文。zh_TW
dc.relation.reference (參考文獻) 李春旺,1989,「股價行為與規模效應:台灣股票市場實證研究」,國立政治大學企業管理研究所博士論文。zh_TW
dc.relation.reference (參考文獻) 翁弘林,1994,「臺灣股市中異常現象之實證研究─以月份效應為例」,國立中興大學企管研究碩士論文。zh_TW
dc.relation.reference (參考文獻) 二、 英文參考文獻:zh_TW
dc.relation.reference (參考文獻) Aggarwal, Reena and Pietra Rivoli, 1989 , “Seasonal and Day-of-the-Week Effects in Four Emerging Stock Markets, ” Financial Review ,Vol 24, 541–550.zh_TW
dc.relation.reference (參考文獻) Agrawal, A and Tandon K, 1994 , “Anomalies or illusions? Evidence from stock markets in eighteen countries,”Journal of International Money and Finance, Vol 13, 83–100.zh_TW
dc.relation.reference (參考文獻) Cadsby, C and M Radner, 1992 ,“Turn-of-month and pre-holiday effects on stock returns: some international 359 evidence,” Journal of Banking and Finance, Vol 16, 497–509.zh_TW
dc.relation.reference (參考文獻) Chan, M.W.L., A, Khanthavit and H Thomas, 1997 ,”Seasonality and Cultural Influences on Four Asian Stock Markets,”Asia Pacific Journal of Management, Vol 13, 1-24.zh_TW
dc.relation.reference (參考文獻) Cheng, Y., R,Ho and K,Wong, 1994 ,“Return and Risk Premium Seasonality in the Emerging Asian Markets,”Journal of Financial Management and Accounting, Vol 94, 223-241.zh_TW
dc.relation.reference (參考文獻) Cross ,Frank, 1973 , “The Behavior of Stock Price on Friday and Monday, ”Journal of finance, 67-90.zh_TW
dc.relation.reference (參考文獻) French, K, 1980 , “ Stock Returns and the Weekend Effect, ”Journal of Financial Economics ,Vol 8, 55-69.zh_TW
dc.relation.reference (參考文獻) Gultekin, M. N and N. B. Gultekin, 1983 ,“Stock Market Seasonality: International Evidence,”Journal of Financial Economics, Vol 12, 469-481.zh_TW
dc.relation.reference (參考文獻) Jaffe,J.F and R.W.Westerfield ,1985 , “The Weekend Effect in Common Stock Return : The International Evidence,”Journal of Business , Vol 40, 433-454.zh_TW
dc.relation.reference (參考文獻) Kato, K ,1990 , “Weekly Patterns in Japanese Stock Returns, ” Management Science ,Vol 36 , 1031 - 1043.zh_TW
dc.relation.reference (參考文獻) Kunkel,Robert A., William S,Compton and Scott Beyer , 2003 , “The turn-of-the-month effect still lives: the international evidence,” International Review of Financial Analysi s, 207-221.zh_TW
dc.relation.reference (參考文獻) Lakonishok ,Josef and Seymour,Smidt ,1988 , “Are Seasonal Anomalies Real? A Ninety-Year Perspective, ”The Review of Financial Studies , Vol 1, 403-425.zh_TW
dc.relation.reference (參考文獻) Lee,Insup, 1992 ,“Stock Market Seasonality:Some Evidence from the Pacific-Basin Countries,” Journal of Business Finance and Accounting, 199-210.zh_TW
dc.relation.reference (參考文獻) Najand ,M and K. Yung ,1994 , “Conditional Heteroskedasticity and the Weekend Effect in S&P 500 Index Futures, ” Journal of Business Finance and Accounting, Vol 21, 603–612.zh_TW
dc.relation.reference (參考文獻) Rozeff, M. S and W. R. Kinney ,1976 , “Capital Market Seasonality: The Case of Stock Returns,” Journal of Financial Economics, Vol 3, 379-402.zh_TW
dc.relation.reference (參考文獻) Tong, W. H. S ,1992 ,“The Analysis of Stock Return Anomalies in the Asia Markets(Taiwan and South Korea) and an Examination of Dynamic Hedging, ” Doctoral Dissertation, Arizona State University.zh_TW
dc.relation.reference (參考文獻) Wang, Y and M. M. Walker , 2000 ,“An Empirical Test of Individual and Institutional Trading Patterns in Japan, Hong Kong, and Taiwan, ” Journal of Economics and Finance , Vol 24, 178 - 194.zh_TW
dc.relation.reference (參考文獻) Xu ,Wei and John. J. McConnell , 2008 ,“Equity Returns at the Turn of Month, ”Financial Analysts Journal , Vol 64, 49-65zh_TW
dc.relation.reference (參考文獻) Zinbarg, E. D, 1964 ,“The Stock Market`s Seasonal Pattern, ” Financial Analysts Journal , Vol 20, 53-67.zh_TW