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題名 台灣股票市場風險溢酬之星期效應實證研究
The Day-of-the-Week Effect of the Equity Risk Premium: Evidence from the Taiwan Stock Exchange
作者 江佶明
Chiang,Chi-ming
貢獻者 周行一
Chow,Edward H.
江佶明
Chiang,Chi-ming
關鍵詞 星期效應
週末效應
風險溢酬
TLS模型
Day-of-the-Week Effect
Weekend Effect
Equity Risk Premium
Trimmed Least Square
Power Ratio
日期 2003
上傳時間 17-九月-2009 19:12:27 (UTC+8)
摘要 近年來的研究顯示英美兩國的無風險利率存在著星期效應，但其股市報酬率的星期效應卻逐漸消失、甚至有反轉，因此本研究想探討台灣加權股價指數報酬率與無風險利率，是否存在著星期效應，抑或跟隨英美兩國的腳步，星期效應不再。此外，本研究亦探討風險溢酬的星期效應，試圖從中解開風險溢酬之謎(Equity Risk Premium)。
行政院於1998年至2000年實施「公務人員每月二次週休二日實施計劃」，台灣股票市場因此實施隔週休二日的制度，這特別的休市制度正好提供本研究進行交割效應假說所需的特殊樣本。認售權證正式於2003年7月上市掛牌買賣，因此去年下半年開始發行的認售權證交易量，亦正好提供本研究檢定投機放空假說所需的樣本。
實證結果顯示，大盤指數報酬率與風險溢酬有顯著的星期效應與週末效應，一週之中每日的報酬率並不相等，其中以週五與週六為最高，有顯著為正的報酬。而週一與週二平均報酬率為負但不顯著。而無風險利率有顯著的星期效應，但週末效應卻不顯著，一週之中每日的利率雖不相等但均顯著異於零。
更進一步探究報酬率、風險溢酬之星期效應與週末效應的成因，發現此星期效應、週末效應支持資訊處理假說、正向回饋假說與投機放空假說；但是卻不支持交割效應假說淤測量錯誤假說。因此得知台灣股票市場報酬率與風險溢酬之星期效應與週末效應的成因，乃為投資人在工作日與非工作日資訊處理成本的差異而導致；此外，過多的融券交易量亦為造成星期效應與週末效應的成因之一。

關鍵詞：星期效應、週末效應、風險溢酬、TLS模型、Power Ratio
參考文獻 中文部份
1. 王韻棋(1997)，「台灣證券集中市場日內效應星期效應之實證研究-以敘述統計、OLS、ARCH、GARCH 及GRANGER、CAUSALIY 模型應用比較」，雲林技術學院企業管理技術研究所碩士論文。
2. 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。
3. 周行一、陳怡雯(2002)，「台灣證券交易所發行量加權指數為納入現金股利之再投資因素對投資報酬率及基金績效衡量之影響」，Review of Securities & Futures Markets 14:1, pp. 1 - 24.
4. 張嘉璁(2001)，「變數轉換之穩健迴歸分析」，國立政治大學統計研究所碩士論文。
5. 蘇皓毅(2003)，「台灣長期股票市場風險溢酬之實證研究」，國立政治大學企業管理研究所碩士論文。
西文部份
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描述 碩士
國立政治大學
財務管理研究所
91357002
92
資料來源 http://thesis.lib.nccu.edu.tw/record/#G0091357002
資料類型 thesis
dc.contributor.advisor 周行一zh_TW
dc.contributor.advisor Chow,Edward H.en_US
dc.contributor.author (作者) 江佶明zh_TW
dc.contributor.author (作者) Chiang,Chi-mingen_US
dc.creator (作者) 江佶明zh_TW
dc.creator (作者) Chiang,Chi-mingen_US
dc.date (日期) 2003en_US
dc.date.accessioned 17-九月-2009 19:12:27 (UTC+8)-
dc.date.available 17-九月-2009 19:12:27 (UTC+8)-
dc.date.issued (上傳時間) 17-九月-2009 19:12:27 (UTC+8)-
dc.identifier (其他 識別碼) G0091357002en_US
dc.identifier.uri (URI) https://nccur.lib.nccu.edu.tw/handle/140.119/34040-
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) 91357002zh_TW
dc.description (描述) 92zh_TW
dc.description.abstract (摘要) 近年來的研究顯示英美兩國的無風險利率存在著星期效應，但其股市報酬率的星期效應卻逐漸消失、甚至有反轉，因此本研究想探討台灣加權股價指數報酬率與無風險利率，是否存在著星期效應，抑或跟隨英美兩國的腳步，星期效應不再。此外，本研究亦探討風險溢酬的星期效應，試圖從中解開風險溢酬之謎(Equity Risk Premium)。
行政院於1998年至2000年實施「公務人員每月二次週休二日實施計劃」，台灣股票市場因此實施隔週休二日的制度，這特別的休市制度正好提供本研究進行交割效應假說所需的特殊樣本。認售權證正式於2003年7月上市掛牌買賣，因此去年下半年開始發行的認售權證交易量，亦正好提供本研究檢定投機放空假說所需的樣本。
實證結果顯示，大盤指數報酬率與風險溢酬有顯著的星期效應與週末效應，一週之中每日的報酬率並不相等，其中以週五與週六為最高，有顯著為正的報酬。而週一與週二平均報酬率為負但不顯著。而無風險利率有顯著的星期效應，但週末效應卻不顯著，一週之中每日的利率雖不相等但均顯著異於零。
更進一步探究報酬率、風險溢酬之星期效應與週末效應的成因，發現此星期效應、週末效應支持資訊處理假說、正向回饋假說與投機放空假說；但是卻不支持交割效應假說淤測量錯誤假說。因此得知台灣股票市場報酬率與風險溢酬之星期效應與週末效應的成因，乃為投資人在工作日與非工作日資訊處理成本的差異而導致；此外，過多的融券交易量亦為造成星期效應與週末效應的成因之一。

關鍵詞：星期效應、週末效應、風險溢酬、TLS模型、Power Ratio		zh_TW
dc.description.tableofcontents 究.........................................................21
五、 時差假說之實證研究.................................................................22
六、 資訊處理假說與正向回饋假說之實證研究.............................23
七、 投機放空假說.............................................................................23
第三章 研究設計.................................................................................................25
第一節 資料蒐集與樣本選取.....................................................................25
一、 研究期間.....................................................................................25
二、 資料來源.....................................................................................26
三、 股票報酬率與風險溢酬之計算.................................................27
第二節 星期效應檢定之研究方法.............................................................29
一、 OLS (Ordinary Least Squares)模式.........................................29
二、 LTS (Least Trimmed Squares)模式..........................................31
三、 Power Ratio Method ..................................................................33
第三節 星期效應之假說檢定方法.............................................................34
一、 交割效應假說(settlement effect hypothesis)............................34
二、 測量錯誤假說(measurement error hypothesis)、
資訊處理假說(information-processing hypothesis)、
正向回饋假說(positive-feedback-trading hypothesis) ...........36
三、 投機放空假說(speculative short sale hypothesis)....................37
第四章 實證結果分析.........................................................................................39
第一節 大盤報酬率之星期效應.................................................................39
第二節 無風險利率之星期效應.................................................................42
第三節 風險溢酬之星期效應.....................................................................43
第四節 大盤報酬率的Power Ratio ...........................................................46
第五節 交割效應假說之實證結果.............................................................53
第六節 測量錯誤假說、資訊處理假說及正向回饋假說之實證結果.....58
第七節 投機放空假說之實證結果.............................................................63
第五章 結論與建議.............................................................................................68
第一節 結論..................................................................................................68
第二節 建議..................................................................................................69
參考文獻： .................................................................................................................71
圖目錄
圖 1- 1 研究流程圖............................................................................................5
圖 2- 1 台灣證券交易所交割程序....................................................................8
圖 4- 1 原始台灣加權股價指數週一報酬率的Power Ratio 圖...................47
圖 4- 2 原始台灣加權股價指數週二報酬率的Power Ratio 圖...................47
圖 4- 3 原始台灣加權股價指數週三報酬率的Power Ratio 圖...................48
圖 4- 4 原始台灣加權股價指數週四報酬率的Power Ratio 圖...................48
圖 4- 5 原始台灣加權股價指數週五報酬率的Power Ratio 圖...................48
圖 4- 6 原始台灣加權股價指數週六報酬率的Power Ratio 圖...................49
圖 4- 7 原始台灣加權股價指數週末與週一報酬率的Power Ratio 圖.......49
圖 4- 8 股利再投資台灣加權指數週一報酬率的Power Ratio 圖...............50
圖 4- 9 股利再投資台灣加權指數週二報酬率的Power Ratio 圖...............50
圖 4- 10 股利再投資台灣加權指數週三報酬率的Power Ratio 圖.............51
圖 4- 11 股利再投資台灣加權指數週四報酬率的Power Ratio 圖.............51
圖 4- 12 股利再投資台灣加權指數週五報酬率的Power Ratio 圖.............51
圖 4- 13 股利再投資台灣加權指數週六報酬率的Power Ratio 圖.............52
圖 4- 14 股利再投資台灣加權指數週末與週一報酬率的Power Ratio 圖.52

表目錄
表格 2- 1 日本、香港與台灣股市的資訊處理假說與正向回饋假說實證結果23
表格 4- 1 原始台灣加權股價指數每日報酬率之星期效應檢定結果.............39
表格 4- 2 考慮股利再投資之台灣加權股價指數每日報酬率之星期效應檢定結
果.........................................................................................................40
表格 4- 3 原始台灣加權股價指數休市前後報酬率之週末效應檢定結果.....41
表格 4- 4 考慮股利再投資之台灣加權股價指數休市前後報酬率之週末效應檢
定結果.................................................................................................41
表格 4- 5 次級市場融資性商業本票利率之星期效應檢定結果.....................42
表格 4- 6 次級市場融資性商業本票休市前後利率之週末效應檢定結果.....43
表格 4- 7 原始台灣加權股價指數每日風險溢酬之星期效應檢定結果.........44
表格 4- 8 考慮股利再投資之台灣加權股價指數風險溢酬之星期效應檢定結果
.............................................................................................................45
表格 4- 9 原始台灣加權股價指數每日風險溢酬之週末效應檢定結果.........45
表格 4- 10 股利再投資台灣加權股價指數每日風險溢酬之週末效應檢定結果
.............................................................................................................46
表格 4- 11 原始台灣加權股價指數報酬率之交割效應假說檢定結果...........54
表格 4- 12 股利再投資加權股價指數報酬率之交割效應假說檢定結果.......55
表格 4- 13 原始加權股價指數風險溢酬之交割效應假說檢定結果...............56
表格 4- 14 股利再投資加權股價指數風險溢酬之交割效應假說檢定結果...57
表格 4- 15 原始加權股價指數每日報酬率之測量錯誤、資訊處理及正向回饋假
說檢定結果.........................................................................................59
表格 4- 16 股利再投資加權股價指數報酬率之測量錯誤、資訊處理及正向回饋
假說檢定結果.....................................................................................60
表格 4- 17 原始加權股價指數每日風險溢酬之測量錯誤、資訊處理及正向回饋
假說檢定結果.....................................................................................61
表格 4- 18 股利再投資加權股價指數風險溢酬之測量錯誤、資訊處理及正向回
饋假說檢定結果.................................................................................62
表格 4- 19 台灣加權股價指數報酬率與風險溢酬之週末效應.......................64
表格 4- 20 原始台灣加權股價指數每日報酬率之投機放空假說檢定結果...65
表格 4- 21 股利再投資加權股價指數每日報酬率之投機放空假說檢定結果65
表格 4- 22 原始台灣加權股價指數風險溢酬之投機放空假說檢定結果.......66
表格 4- 23 股利再投資台灣加權股價指數風險溢酬之投機放空假說檢定結果
.............................................................................................................66
表格 4- 24 賣權交易量對股票報酬率的週末效應之影響...............................67		zh_TW
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dc.language.iso en_US-
dc.source.uri (資料來源) http://thesis.lib.nccu.edu.tw/record/#G0091357002en_US
dc.subject (關鍵詞) 星期效應zh_TW
dc.subject (關鍵詞) 週末效應zh_TW
dc.subject (關鍵詞) 風險溢酬zh_TW
dc.subject (關鍵詞) TLS模型zh_TW
dc.subject (關鍵詞) Day-of-the-Week Effecten_US
dc.subject (關鍵詞) Weekend Effecten_US
dc.subject (關鍵詞) Equity Risk Premiumen_US
dc.subject (關鍵詞) Trimmed Least Squareen_US
dc.subject (關鍵詞) Power Ratioen_US
dc.title (題名) 台灣股票市場風險溢酬之星期效應實證研究zh_TW
dc.title (題名) The Day-of-the-Week Effect of the Equity Risk Premium: Evidence from the Taiwan Stock Exchangeen_US
dc.type (資料類型) thesisen
dc.relation.reference (參考文獻) 中文部份zh_TW
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