商業本票發行利率之季節性異常現象探討

An Examination of Seasonal Anomaly in Commercial Paper's Issuing Rates

楊踐為(Jack J. W. Yang)

《管理評論》 14卷1期 (1995/01) Pp. 69-76

https://doi.org/10.6656/MR.1995.14.1.CHI.69

摘要

所謂季節性異常現象乃指金融性資產之投資報酬率並非逐日逐週或逐月均相同。而有關股票市場季節性異常現象之研究，更是充斥於國內外各期刊，其中較著名者有三種，即週末效應、年尾效應、及月中效應。但是有關貨幣市場對這方面之探討，則略顯不足，本研究目的之一即在填補此一空缺，針對融資性商業本票之發行利率是否亦有此一季節性之異常現象做一探討，而研究之重點為週日效應，即探測融資性商業本票發行利率之變化是否從週一至週六均相同。而研究結果指出在本研究之涵蓋時期內，似乎有週二及週四之效應存在，唯效應資料之完整性與央行之貨幣政策因素，則仍值得做進一步之研究。

關鍵字

季節性異常現象 ； 融資性商業本票 ； 週末效應 ； 年尾效應 ； 月中效應

並列摘要

Seasonal Anomaly in stock returns has become one of the most predominant topics for nearly three decades. Several studies have identified Seasonal Anomalies that present challenges to the existence of the Efficient Market Hypothesis. Three widely-known seasonal anomalies are the Weekend effect, the Year-end effect and the Week-of-the-Month effect. Despite of the fact that researches about stock return's seasonal anomalies are abundant, the probes regarding whether money market instruments possess the same characteristics are scarce. The aim of this study is to investigate if a Day-of-the-Week effect exists in the change of interest rate of financing oriented commercial papers issuance. In other words, is the change of interest rate on a particular weekday higher than those of the other trading days when financing-oriented commercial papers are issued. The results indicate some Day-of-the-Week effects do exist. Due to the boundness of the time covered, data reliability and Central Bank's monetary policy, a further study, however, deserves to be continued.

並列關鍵字

Seasonal Anomaly ； Financing-Oriented Commercial Paper ； Day-of-the-Week Effect ； Year-End Effect ； Week-of-the-Month Effect