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題名:臺灣股票市場元月及春節效應探討
書刊名:臺中教育大學學報. 數理科技類
作者:黃益松朱曉萍張旭玲 引用關係
作者(外文):Huang, Yi-sungChu, Hsiao-pingChang, Hsu-ling
出版日期:2007
卷期:21:2
頁次:頁7-19
主題關鍵詞:元月效應春節效應GARCH模型January effectChinese new year effectGARCH model
原始連結:連回原系統網址new window
相關次數:
  • 被引用次數被引用次數:期刊(3) 博士論文(0) 專書(0) 專書論文(0)
  • 排除自我引用排除自我引用:3
  • 共同引用共同引用:12
  • 點閱點閱:39
元月效應或春節效應為股票市場中每年元月或春節期間的投資報酬率傾向高於其他月份之異常現象。本研究主要目的利用GARCH(1,1)模型檢測臺灣股票市場從1995年11月至2003年12月是否具有元月或春節效應之存在。實證結果顯示,元月效應存在於上櫃市場,但不存在於上市市場,然而,在春節效應的研究中我們發現在5%的顯著水準下,只有上市市場具有春節效應,但是在10%的顯著水準下,上市市場及上櫃市場在春節前天皆有較高於其他月份的報酬,其效應顯示臺灣的投資者在春節前會獲得大量流動利潤(liquid profit),而投入股票市場,造成春節期間報酬較高。
January effect and Chinese New Year effect means that the investors will have excess return in January and Chinese New Year. In this research, we examine whether the January effect and Chinese New Year effect exist in Taiwan's stock market by using the GARCH (1, 1) model during November 1995 to December 2003. The empirical results from GARCH (1, 1) model substantiate that January effect and Chinese New Year effect exist in Taiwan's stock market and the return is higher than other months fifteen days before Chinese New Year.
期刊論文
1.Seyhun, H. N.(1993)。Can Omitted Risk Factors Explain the January Effect? A Stochastic Dominance Approach。Journal of Financial and Quantitative Analysis,28(2),195-212。  new window
2.Thaler, R. H.(1987)。Amomalies: The January Effect。The Journal of Economic Perspectives,1(1),197-201。  new window
3.Jaffe, J. F.、Westerfield, R.、Ma, C.(1989)。A Twist on The Monday Effect in Stock Prices: Evidence from the U.S. and Foreign Stock Markets。Journal of Banking and Finance,13(4/5),641-650。  new window
4.Ogden, Joseph P.(1990)。Turn-of-month evaluations of liquid profits and stock returns: A common explanation for the monthly and January effects。The Journal of Finance,45(4),1259-1272。  new window
5.Gultekin, Mustafa N.、Gultekin, N. Bulent(1983)。Stock market seasonality: International Evidence。Journal of Financial Economics,12(4),469-481。  new window
6.Lakonishok, Josef、Smidt, Seymour(1988)。Are seasonal anomalies real? A ninety-year perspective。The Review of Financial Studies,1(4),403-425。  new window
7.Ritter, J. R.(1988)。The Buying and Selling Behavior of Individual Investors at the Turn of the Year。Journal of Finance,43(3),701-717。  new window
8.Lakonishok, J.、Smidt, S.(1984)。Volume and turn-of-the-year behavior。Journal of Financial Economics,13,435-456。  new window
9.Seyhun, H. N.(1988)。The January effect and aggregate insider trading。Journal of Finance,43(1),129-141。  new window
10.方文碩(20001200)。通貨貶值對股市報酬與波動的衝擊:亞洲四小龍實證研究。亞太管理評論,5(4),451-465。new window  延伸查詢new window
11.Mills, T.、Coutts, J.(1995)。Calendar effects in the London Stock Exchange FT-SE Indices。European Journal of Finance,1,79-93。  new window
12.Ritter, J.、Chopra, N.(1989)。Portfolio Rebalancing and the Turn-of-the-Year Effect。Journal of Finance,44(1),149-166。  new window
13.Chan, M. W. L.、Khanthavit, Anya、Thomas, Hugh(1996)。Seasonality and cultural influences on four asian stock markets。Asia Pacific Journal of Management,13(2),1-24。  new window
14.Tong, Wilson H. S.(1992)。An Analysis of the January Effect of the United State, Taiwan and South Korean Stock Market。Asia Pacific Journal of Management,9(2),189-207。  new window
15.Corhay, Albert、Hawawini, Gabriel、Michel, Pierre(1987)。Seasonality in the risk-return relationship: Some international evidence。Journal of Finance,42(1),49-68。  new window
16.Jaffe, J. F.、Westerfield, R. W.(1985)。The weekend effect in common stock returns: The international evidence。Journal of Finance,40(2),433-454。  new window
17.Engle, R. F.(1982)。Autoregressive Conditional Heteroske- dasticity with Estimates of the Variance of U.K. Inflation。Econometrica,50(4),987-1008。  new window
18.Merton, R. C.(1980)。On Estimating the Expected Return on the Market。Journal of Financial Economics,8,323-361。  new window
19.Engle, R. F.、Lilien, D. M.、Robins, R. P.(1987)。Estimating time varying risk premia in the term structure: The ARCH-M model。Econometrica,55(2),391-407。  new window
20.Engle, Robert F.、Kroner, Kenneth F.(1995)。Multivariate simultaneous generalized arch。Econometric Theory,11(1),122-150。  new window
21.Keim, Donald B.(1983)。Size-Related Anomalies and Stock Return Seasonality: Further Empirical Evidence。Journal of Financial Economics,12(1),13-32。  new window
22.Dickey, David A.、Fuller, Wayne A.(1981)。Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root。Econometrica: journal of the Econometric Society,49(4),1057-1072。  new window
23.Bollerslev, Tim(1986)。Generalized Autoregressive Conditional Heteroskedasticity。Journal of Econometrics,31(3),307-327。  new window
24.顏吉利、史綱(19930500)。Chinese New Year Effect in Asian Stock Markets。臺大管理論叢,4(1),417-436。new window  延伸查詢new window
25.Lakonishok, Josef、Shleifer, Andrei、Vishny, Robert W.(1994)。Contrarian Investment, Extrapolation, and Risk。Journal of Finance,49(5),1541-1578。  new window
會議論文
1.Rozeff, M.(1986)。Tax loss selling: evidence from December stock returns and share shifts。The Seminar on the Analysis of Security Prices。Center for Research in Security Prices。9-45。  new window
圖書
1.Dahlquist, M.、Sellin, P.(1994)。Seasonalities in Swedish stock returns: why are they not arbitraged away?。Institute for International Economic Studies, University of Stockholm。  new window
 
 
 
 
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