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研究生:王章誠
研究生(外文):Chang-Cheng Wang
論文名稱:股市季節性異常報酬現象與散戶投資人交易行為之研究
論文名稱(外文):An Investigation of the Relationship Between Security Return Seasonal Aomaly and Individual Investor''s Trading Pattern
指導教授:楊踐為楊踐為引用關係
指導教授(外文):Jack J. W. Yang
學位類別:碩士
校院名稱:國立雲林科技大學
系所名稱:企業管理技術研究所
學門:商業及管理學門
學類:企業管理學類
論文種類:學術論文
論文出版年:1999
畢業學年度:87
語文別:中文
論文頁數:84
中文關鍵詞:星期效應一般化自迴歸條件異質變異數模型散戶投資人季節性異常報酬
外文關鍵詞:Day-of-the-Week EffectGARCHIndividual InvestorSecurity Return Seasonal Aomaly
相關次數:
  • 被引用被引用:15
  • 點閱點閱:448
  • 評分評分:
  • 下載下載:0
  • 收藏至我的研究室書目清單書目收藏:1
長久以來,學術界試圖運用過去的歷史價量資料及配合統計模型,以正確分析未來價格走勢;實務界也嘗試利用各種指標來預測最佳的買賣時點,以獲取超額利潤。而在先前有許多學者Cross(1973)、French(1980)、Gibbons and Hess(1981)、Lakonishok and Levi(1982)、Keim and Stambaugh(1984)、Wang Ko et al.(1997)、Kamath et al.(1998)等等發現股市存在著季節性異常報酬現象,然而究竟是什麼原因造成股票市場呈現季節性異常報酬率的現象?目前仍無一肯定的答案。而台灣在有關季節性異常報酬方面的研究多僅在統計特質方面的探討,但對於造成的原因則僅有伍國權(1998)曾對機構性投資人進行相關的研究,可是研究結果並不顯著。因此本研究欲藉由探討台灣股市中散戶投資人之交易行為與特性,試圖尋找出台灣股市季節性異常報酬現象之原因。
本研究構面由縱、橫兩剖面所構成,首先在縱斷面運用一般化自我迴歸條件異質變異數模型(GARCH)分析台灣股市過去已發生的價量資料,確定星期效應(Day-of-Week Effect)的存在;而在橫斷面則採用問卷調查與統計分析方法,來探討散戶投資人的交易特性與地理變項間的關係。最後,將縱、橫兩剖面結合,以分析台灣股市星期效應是否由散戶投資人的特殊交易行為所造成。
研究結果在縱斷面發現台灣股市在5%統計水準下,星期二呈現負報酬與星期六呈現正報酬之結果。橫斷面問卷分析結果則發現:1.散戶投資人在心理面與行為面上,存在著日期偏好現象。2.在投資規劃的日期方面則可支持「資訊處理假說」。3.對於星期六漲跌的看法,由於受到「交割效果」與「獲利了結」的影響,形成具有很大分歧的結果。3.在地區變項間則具有差異存在。而對於台灣地區存在的星期效應與歐美地區有差異(星期一負報酬、星期五正報酬),則可能是台灣股市受到歐美股市外溢效果的影響所致。
The research in terms of seasonal anomaly in financial time series has been receiving extensive attention in the past fifty years. The most well-known seasonal anomaly is the Day-of-the-Week effect advanced by Cross (1973), French (1980), Gibbons and Hess (1981), Lakonishok and Levi (1982), Keim and Stambaugh (1984), Wang Ko et al. (1997), and Kamath et al. (1998). Facing this seasonal anomaly, different hypotheses have been developed in an attempt to elucidate the myth. For instance, Sias and Starks (1995) Lakonishok and Maberly (1990), and Abraham and Ikenberry (1994) all indicate that individual investors prefer to trade on Monday, while institutional investors avoid trading on Monday. The main purpose of this study is to explore the trading behavior of individual investors in Taiwan to see whether there is any connection between the individual investors’ trading practice and Day-of-the-Week effect.
The main structure in this research is divided into two parts. The survey questionnaires are utilized in the first section with an aim to understand the trading patterns of individual investors. The second part, mainly using time series analysis of GARCH (Generalized Autoregressive Conditional Heteroskedasticity) model in dealing with the Day-of-the-Week effect, investigates the cause of it.
The empirical outcome of GARCH model has pointed out that a negative Tuesday and positive Saturday effect existing in Taiwan stock market. The survey results indicate individual investors’ trading habits are influenced by settlement effect and information processing hypothesis. Overall, the stock return in the U.S, has led that in Taiwan.
中文摘要.......................................................i
英文摘要......................................................ii
誌 謝.....................................................iii
目 錄......................................................iv
表 目 錄.......................................................v
圖 目 錄......................................................vi
一、 緒論.....................................................1
1.1 研究動機 ..................................................1
1.2 研究目的...................................................3
1.3 研究限制...................................................4
1.4 研究架構...................................................5
1.5 研究流程...................................................6
二、 相關研究文獻探討.........................................7
2.1 星期效應..................................................7
2.1.1 國外文獻探討.............................................7
2.1.2 國內文獻探討............................................14
2.2 異常報酬現象成因之探討....................................27
2.3 異常報酬現象出現之時間....................................29
三、 研究方法................................................30
3.1 資料蒐集與整理............................................30
3.1.1 縱斷面..................................................30
3.1.2 橫斷面..................................................30
3.1.3 問卷前測與修改..........................................31
3.2 問卷研究架構..............................................32
3.3 問卷研究變數即其操作性定義................................32
3.4 資料分析方法..............................................33
3.4.1 縱斷面..................................................33
3.4.2 橫斷面..................................................45
3.5 問卷檢定流程..............................................46
3.6 實證模型..................................................48
四、 實證結果與分析..........................................50
4.1 實證結果..................................................50
4.1.1 基本特性與穩定性........................................50
4.1.2 Ljung-Box序列相關檢定...................................51
4.1.3 ARCH效果檢定............................................51
4.1.4 GARCH(p,q)模型階次選定..................................54
4.1.5 GARCH(1,1)模型實證......................................54
4.2 問卷結果..................................................56
五、 結論與建議..............................................72
5.1 結論......................................................72
5.2 建議......................................................74
參考文獻......................................................76
附錄一、問卷..................................................82
附錄二、問卷調查人員注意事項..................................84
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