臺灣博碩士論文加值系統

在20世紀90年代後，許多實證研究發現星期效應（day-of-the-week effect）已從開發中國家消失，代表市場效率的增加；同樣對於新興市場的實證研究也不少，但結論卻大相逕庭。適逢台灣涉及總體經濟活動的起伏變化，這意味著，資本市場在一段時間內會有異常現象（星期效應）的存在。本研究以2000年至2008年為樣本期間，探討台灣股票市場星期效應是否存在。
所謂過度自信乃指人們過度相信自己的能力，高估私有資訊的正確程度。本研究參照蔡坤興（2006）所提之過度自信係數( the overconfidence coefficient)，以融資買進資料來分析過度自信現象。同時以多空頭走勢、市值大小、報酬率區間及資訊揭露等級等不同屬性，作過度自信現象差異性分析。
研究結果發現，台灣股票市場僅剩星期一效應，星期五效應已不復見，亦即台灣股票市場仍存在星期效應。從星期效應的異常現象反思，台灣市場為弱式效率市場。另外，台灣股市散戶投資人，存有過度自信現象；多頭市場過度自信現象高於空頭市場；而市值較小公司，其過度自信程度高於市值較大公司，且報酬率越高，過度自信傾向越明顯；從資訊揭露角度來看，資訊揭露程度與投資人過度自信程度呈反比，再次強調投資人高估私有資訊的心態。

In the 20th century, many empirical studies have demonstrated that the day-of-the-week effect disappeared from some developing countries, although the findings for emerging markets were different. This study uses the data over the period during 2000 to 2008 to explore the day-of-the-week effect at Taiwan stock market. In addition, this thesis analyzes the phenomenon of overconfidence based on the data of purchase margin and furthermore explores different psychological effects of overconfidence among bull-bear periods. This study also divides the sample into several subsamples such as the companies of high market value and those of low market value. The empirical results indicate that there is Monday effect at Taiwan stock market. In addition, it is evident that the phenomenon of overconfidence does exist at Taiwan stock market. The overconfidence is found to be stronger in bull periods than in bear periods; and to be stronger at the companies of low market value than those of high market value.

目錄
摘要 Ⅰ
英文摘要 Ⅱ
目錄 Ⅲ
表目次 Ⅳ
圖目次 Ⅴ
第一章 緒論 1
第一節 研究背景 1
第二節 研究動機 2
第三節 研究目的 4
第四節 研究流程 5
第二章 文獻探討 7
第一節 效率市場假說 7
第二節 行為財務學的理論架構 9
第三節 異常現象的相關研究 13
第四節 過度自信的相關研究 19
第五節 過度自信與季節性異常現象 31
第三章 研究方法 33
第一節 樣本期間 33
第二節 樣本選取 35
第三節 研究架構 38
第四節 研究模型 40
第四章 實證分析與結果 54
第一節 星期效應檢定 54
第二節 散戶投資人過度自信檢定 62
第三節 多頭、空頭過度自信檢定 63
第四節 不同市值比重之過度自信分析 64
第五節 資訊揭露評鑑之過度自信分析 72
第六節 實證結果之彙整 78
第五章 結論與建議 87
第一節 研究結論 87
第二節 研究建議 90
參考文獻 91
附錄 98


表目次
表2-1　 行為財務學 VS. 現代財務學 13
表3-1　 實證研究之樣本期間 35
表3-2　 研究期間市值前30家上市公司 36
表3-3　 研究期間市值後30家上市公司 37
表4-1　 樣本期間（1/1/2000~12/31/2008）股價指數及日股價指數報酬率之
基本敘述統計 55
表4-2　 Levene Test 檢定結果 59
表4-3　 GARCH模型之AIC與SIC值 60
表4-4　 GARCH 模型參數之估計與檢定結果 61
表4-5 大盤過度自信係數（2000~2008年） 62
表4-6 大盤不同走勢之過度自信係數(O.C) 63
表4-7 市值前30家公司的過度自信係數 64
表4-8　 市值後30家公司的過度自信係數 65
表4-9　 不同市值比重過度自信係數之差異檢定結果 66
表4-10　市值前後30家不同報酬率區間自信係數之檢定結果 68
表4-11　過度自信係數為負值之個股 69
表4-12　各類股過度自信係數比較 70
表4-13 2000~2007年與2000~2008年個股過度自信係數比較 71
表4-14　2005~2007各級過度自信系數平均值 73
表4-15　2005~2007各級過度自信系數平均值檢定結果 75
表4-16　2005~2007市值前後30家企業各級過度自信系數平均值 77
表4-17　星期效應結果彙整 79
表4-18　大盤過度自信結果彙整 81
表4-19　過度自信係數與報酬率差異性彙整 82
表4-20　過度自信係數與資訊揭露差異性彙整 83
表4-21　研究假說成立情況彙整 85





圖目次
圖1-1　研究流程圖 6
圖3-1　2000~2008年台灣股票加權指數 34
圖3-2　研究架構圖 38
圖4-1　2000/01/01~2008/12/31 台灣加權股價指數趨勢圖 56
圖4-2　過度自信程度與投資風險趨勢圖 8

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