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題名:月亮週期對股價報酬的影響--臺灣與美國的差異比較
書刊名:商管科技季刊
作者:王銘駿 引用關係陳宜伶 引用關係吳昭億陳思婷
作者(外文):Wang, Ming-chunChen, Yi-lingWu, Chao-yiChen, Szu-ting
出版日期:2014
卷期:15:3
頁次:頁351-378
主題關鍵詞:月亮週期股價報酬Lunar phasesStock returns
原始連結:連回原系統網址new window
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  • 被引用次數被引用次數:期刊(0) 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:0
  • 共同引用共同引用:6
  • 點閱點閱:47
本研究採用台灣加權股價指數及美國四大指數日報酬率資料,試圖探討月亮週期是否對股價報酬造成影響,並比較台灣及美國市場是否存在不同現象。實證結果顯示,在平均報酬率差異檢定上,並無證據顯示新月及滿月時股價平均報酬上存在差異;但發現新月期平均報酬率普遍優於滿月期,且台灣及美國市場在滿月時期上存有相反的現象,即台灣市場愈接近滿月時負報酬現象愈明顯。而在多元迴歸分析上,台灣市場仍無證據顯示月亮週期會對股價報酬造成影響,而美國市場在新月五天區間時對股價報酬則存有正向影響。
This paper investigates whether the lunar phases influence stock returns in both the Taiwan and U.S. stock markets and further compares if there is a difference in the impact of the lunar phases on stock returns between both markets. Using the daily returns of Taiwan Weighted Stock Index and four major U.S. market indices (DJIA, S&P 500, NYSE, and NASDAQ), we find that the mean returns are higher on the days around new moon than those on the days around full moon in both markets, but this observation is not statistically significant at conventional levels. Moreover, we find that there are more negative returns as the trading days are more close to full moon days in the Taiwan stock market, while we find the results to the contrary in the U.S. stock markets. Based on the results of the regression analysis, we find a positive effect of new moon on U.S. stock returns at the interval of the 5 days before and after new moon day. However, we still find no evidence that the Taiwan stock returns are affected by the lunar phases.
期刊論文
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2.Yuan, K.、Zheng, L.、Zhu, Q.(2006)。Are investors moonstruck? Lunar phases and stock returns。Journal of Empirical Finance,13(1),1-23。  new window
3.Cao, Melanie、Wei, Jason(2005)。Stock market returns: A note on temperature anomaly。Journal of Banking and Finance,29(6),1559-1573。  new window
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16.Dichev, I. D.、Janes, T. D.(2003)。Lunar cycle effects in stock returns。The Journal of Private Equity,6,8-29。  new window
17.Schmeling, M.(2009)。Investor sentiment and stock returns: Some international evidence。Journal of Empirical Finance,16(3),394-408。  new window
18.Loughran, Tim、Schultz, Paul(2004)。Weather, stock returns, and the impact of localized trading behavior。Journal of Financial and Quantitative Analysis,39(2),343-364。  new window
19.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
20.Hirshleifer, David、Shumway, Tyler(2003)。Good Day Sunshine: Stock Returns and the Weather。The Journal of Finance,58(3),1009-1032。  new window
21.Saunders, E. M. Jr.(1993)。Stock Prices and Wall Street Weather。American Economic Review,83(5),1337-1345。  new window
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會議論文
1.Gao, Q. H.(2009)。Lunar Phases Effect in Chinese Stock Returns。2009 International Conference on Business Intelligence and Financial Engineering。Beijing, China。  new window
2.劉淑鶯、曾昭玲(2002)。新月與滿月效應對股價報酬率之影響。第一屆全國行為財務學理論與實證研討會。  延伸查詢new window
研究報告
1.Hong, Dong、Lee, Charles M. C.、Swaminathan, Bhaskaran(2003)。Earnings Momentum in International Markets。Singapore Management University。  new window
學位論文
1.江翰林(2008)。月亮效應與股價報酬-台灣上市公司實證(碩士論文)。國立中央大學。  延伸查詢new window
圖書
1.臺灣證券交易所股份有限公司(2013)。世界主要證券市場相關制度。台北:臺灣證券交易所股份有限公司。  延伸查詢new window
2.Townley, J.(1996)。Dynamic Astrology: Using Planetary Cycles to Make Personal and Career Choices。USA: Inner Traditions International L。Inner Traditions International Ltd。  new window
3.Elton, E. J.、Gruber, M. J.、Brown, S. J.、Goetzmann, W. J.(2011)。Modern Portfolio Theory and Investment Analysis。New York:John Wiley and Sons Press。  new window
 
 
 
 
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