本文以融資性商業本票發行利率為研究對象，探討其是否在元月份具有星期效應(day-of-the-week effect, DOW) 以作為企業融資的參考。使用的研究方法為GARCH模型，本研究採用十年(民國八十三年至九十三年)的日資料，資料來源為經濟新報資料庫。實證結果顯示，融資性商業本票30天期有星期一效應、90天期有星期四效應以及180天期有星期二、四效應。故本研究所得，融資性商業本票發行利率在元月份存在星期效應的現象，不符合弱勢效率市場假說。 我們再加入台灣加權股價指數和新台幣對美元的即期匯率，試著找出影響融資性商業本票星期效應的因素，以迴歸作正負相關分析。實證結果顯示，融資性商業本票和台灣加權股價指數為正相關，與新台幣對美元的即期匯率為負相關。 The purpose of this study is to verify the day-of-the-week effect on the January of Taiwan’s financing commercial papers. We manipulate the GARCH model and the daily data from 1994 to 2004. The results indicate that the 30-day commercial papers exhibit a Monday effect and the 90-day commercial papers show a Thursday effect while the 180-day commercial papers exist both Tuesday and Thursday effect. The evidences prove that the commercial papers exist the day-of-the-week effect which does not conform the weak form efficient market hypothesis. In addition, we try to find day-of-the-week affected factors of financing commercial papers. We fit stock price index and exchange rate into regression analysis. The results are as followed: Financing commercial papers interest rates are affected by atock price index and show a positive relationship. Financing commercial papers interest rates are affected by exchange rates and exist a negative relationship.
