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題名 | 星期效應之實證研究--以元月份融資性商業本票為例=An Empirical Study on Day-of-the-week Effect under the January in Reference to Financing-oriented Commercial Papers |
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作者姓名(中文) | 徐清俊; 莊惠雯; | 書刊名 | 明志學報 |
卷期 | 37:2 民95.01 |
頁次 | 頁5-15 |
分類號 | 562.373 |
關鍵詞 | 元月效應下星期效應; 自我迴歸條件異質變異數; 融資性商業本票; Day-of-the-week effect under the January effect; GARCH; Financing commercial papers; |
語文 | 中文(Chinese) |
中文摘要 | 本文以融資性商業本票發行利率為研究對象,探討其是否在元月份具有星期效應(day-of-the-week effect,DOW) 以作為企業融資的參考。使用的研究方法為GARCH模型,本研究採用十年元月份(民國八十三年是九十三年)的日資料,資料來源為經濟新報資料庫。實驗結果顯示,融資性商業本票30天期有星期一效應、90天期有星期四效應以及180天期有星期二、四效應。故本研究所得發現,融資性商業本票發行利率在元月份存在星期效應的現象,不符合弱勢效率市場假說。 |
英文摘要 | The purpose of this study is to verify the day-of-the-week effect under January effect of Taiwan's financing commerial papers. We manipulate the GARCH model and the daily data from 1994 to 2004. The results indicate that the 30-day commercial papers exhibit a Monday effect and the 90-day commercial papers show a Thursday effect while the 180-day commercial papers exist both Tuesday and Thursday effect. The evidences prove that the commercial papers exist the day-of-the -week effect which does not conform the weak from efficient market hypothesis. |
本系統之摘要資訊系依該期刊論文摘要之資訊為主。