- 學位論文
Short Covering Activity and the Weekend Effect
Short Covering Activity and the Weekend Effect
摘要
在本篇論文檢驗在2011到2012在台灣證券交易所上市公司的融券回補和週末效應的關係，第一，我們發現禮拜一的融券回補活動比禮拜五高，但禮拜三的融券回補活動最低，而日報酬和融券回補活動存在負向關係隱含著放空者在融券回補時有反向投資傾向，除此之外，這個負向關係在禮拜一最為顯著，第二，融券回補活動和日標準差(風險)存在正向關係，最後我們發現放空者在禮拜一比禮拜五回補較多報酬有較大波動的股票。
關鍵字
無資料並列摘要
In this study, we examine the relation between the weekend effect and the short-covering activities related to stocks listed in the Taiwan Stock Exchange from 2011 to 2012. Results show that first, more short-covering activities occur on Mondays than on Fridays; however, the fewest are observed on Wednesdays. The negative relation between short-covering activities and daily return implies a contrarian behavior in contemporaneous returns when positions are covered. Moreover, this negative correlation is more significant on Mondays than on other days. Second, short-covering activities are positively related to daily volatilities (risk). Finally, short sellers cover more positions for more volatile stocks on Mondays than on Fridays.