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研究生:陳守賓
研究生(外文):Shoou-bihn Chern
論文名稱:台灣票券市場報酬率異常性檢定
論文名稱(外文):Test of Abnormad Return in Taiwan Security Market
指導教授:徐 靖 志
指導教授(外文):Ching C. Hsu
學位類別:碩士
校院名稱:淡江大學
系所名稱:金融研究所
學門:商業及管理學門
學類:財務金融學類
論文種類:學術論文
論文出版年:1993
畢業學年度:82
語文別:中文
論文頁數:79
中文關鍵詞:商業本票隨機優勢異常報酬無母數統計
外文關鍵詞:Commercial PaperStochastic DominanceAbnormal ReturnsNon-
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貨幣市場是金融體系中,企業或其他經濟部門融通短期資金的市場,因此
市場利率變化導致的報酬率改變,便足以影響到短  期資金管理者的策
略。然而,隨著不同種類、不同期限的票券,  有各種不同的利率水準
存在,欲對利率變化的影響作一探討,必  須有可靠的及代表性的數據
不可。本文利用商業本票利率從事報酬率分析正足以將票券市場的報酬率
異常性資訊充分表達。  本文將商業本票不同級距的各買賣牌告利率平
均,透過報酬率核算公式得到每日所對應的報酬率資料,再以此檢定報酬
率是否符合常態性假設。結果得知商業本票報酬率不合乎常態性假設。既
知此結果,所以必須運用無母數統計方法來檢定報酬率的異常性。  經
過檢定結果,本文得到以下結論:1.星期一及星期五的報酬率存在較明
顯的異常性。2.愈短天期的商業本票,其受休市所引發的報酬率異常情
行愈  明顯。 3.農曆元月、七月及國曆九月、十月的報酬率存在較
明顯的異  常性。4.準備金的補充對商業本票報酬率存在一定程度的
影響。 5.三節前後的報酬率與一般交易日的報酬率並無顯著的差異。
In the financial markets, money market is a place which
companies and some economic units can get their short-term
money. Therefore, the fluctuation of the interest rate of
money market could change companies'' assets returns and
influence on the management strategy of corporations''s short-
term money. However, the behavior of the interest rate depends
on a variety of reasons, such as maturity, market efficient,
and arbitrage opportunity existing on the money market. It is
hardly to discuss the behavior of the interest rate without
credible data. In this thesis, I use the interest rate of
commercial paper to analize its returns which can fully
describe the information of the abnormal returns of money
market. As to the data, I collect a variety of daily ask/bid
average interest rate of commercial papers in this thesis,
caculate their comparative returns by a returns formula, and
test whether their returns satisfy the assumed normality or
not. And we find it is not. Therefore, we go in another non-
parameter statistics for testing the returns abnormity. The
testing results we get are in the following: 1) In comparative,
Monday''s returns and Friday''s returns exist signally abnormity.
2) The abnormity returns of short-term commercial paper is
influenced by the fact of the off-trading of money market. 3)
Abnormity returns is also occured in Lunar January, Lunar July,
September, and October. 4) The replenished day of reserve money
has some influence on commercial paper''s abnormity returns. 5)
There are not signally differential returns between general
trading day and trading days around three Chinese festivals.
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