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    题名: 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
    贡献者: 周行一
    Chow,Edward H.
    江佶明
    Chiang,Chi-ming
    关键词: 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
    上传时间: 2009-09-17 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.
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    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。
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    描述: 碩士
    國立政治大學
    財務管理研究所
    91357002
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