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    题名: 月轉換效應
    作者: 劉威醇
    贡献者: 徐燕山
    劉威醇
    关键词: 月轉換效應
    元月效應
    週末效應
    日期: 2008
    上传时间: 2009-09-14 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
    数据类型: thesis
    显示于类别:[財務管理學系] 學位論文

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