從投資人交易活動探討台灣加權股價指數之星期效應

The Day-of-the-Week Effect in Taiwan Weighted Stock Price Index: An Analysis of Investors' Trading Activities

詹淑慧(Shu-Hui Chan) ； 王嘉隆(Jar-Long Wang)

《經營管理論叢》 3卷2期 (2007/12) Pp. 47-58

https://doi.org/10.6872/OMR.200712_3(2).0020

摘要

本研究檢驗台股於01/01/1981－09/30/2005的星期效應，實證結果顯示1996年以後，台股存在顯著的星期一效應，而且集中在第三及第四個星期一，並未呈現均勻分佈的現象。而且散戶及機構投資人對台股星期一報酬均呈現負相關，雖然機構投資人在台股的交易比重逐年提高，但因散戶交易仍佔整體市場較高的比重，因此並未呈現國外研究顯示的逐漸消失或反轉的現象。

關鍵字

星期效應 ； 月內效應 ； 投資人交易活動

並列摘要

This study examines the Monday returns detected in the Taiwan stock market during 01/01/1981-09/30/2005 periods and finds that the results for the post-1996 sub-period are quite different from those for the pre-1996 sub-period. During the post-1996 sub-period, this study finds: (a) Monday returns are significantly negative, (b) Monday returns are not evenly distribute; instead, they are concentrated in the third and the forth weeks of the month, and (c) Monday returns are negatively related to trading activities of institutional investors and individual investors.

並列關鍵字

the day-of-the-week effect ； Week ofthe month ； Investors' trading activities