在不同的市場狀態下之週間日效應模式：在台灣市場之實証分析

南華大學機構典藏系統 > 管理學院 > 財務金融學系(財務管理碩士班) > 博碩士論文 > Item 987654321/19485

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题名:	在不同的市場狀態下之週間日效應模式：在台灣市場之實証分析
其它题名:	Weekday effect patterns in different market states: Empirical analysis of Taiwan Stock Market
作者:	阿倫珠 Bataa, Ariunzul
貢獻者:	財務金融學系財務管理碩士班白宗民 Tzung-min Pai
关键词:	strong bull market;strong bear market;weak bull market;weak bear market;GARCH;market state;Weekday effect
日期:	2010
上传时间:	2015-03-16 10:26:01 (UTC+8)
摘要:	Although numerous researchers investigated weekday effects, their methodologies and results do not appear entirely satisfactory. This research analyzes weekday effects of Taiwan Stock market on bull- and bear-type markets and gives one possible explanation of weekday effects “wandering”. Using Turning Point Detection Method and Naive Moving Average Method, I determine bull- and bear-type markets and use ARMA-GARCH regression analysis to discover weekday effects on the mean and volatility equations.　The empirical results support the existence of strong bull Monday effect and its mean return is significant positive and the highest among all weekday effects. Moreover, the result does not depend on the time periods and methodologies used to determine market states. Negative and the lowest average return is found in strong bear Monday that is not depending on the time periods and methodologies, though it is significant only by using Turning Point Detection methodology. Other weekday effects are observed, but they are not consistent.　The present study shows market states are useful factors of studying weekday effects and demonstrates the fragility of previous studies.
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