- 學位論文
日內與週間效果之實證研究—道瓊及納士達克高頻率指數分析
The Empirical Study of Intraday and Weekday Effects- Evidence from DJIA and NASDAQ High Frequency Indices
摘要
****本研究利用機率分配的方法來探討道瓊及納士達克高頻率指數的日內效果及週間效果分析。研究發現，以日內報酬之絕對值做為道瓊及納士達克高頻率指數之波動率皆會形成U型圖，然而不同的是，道瓊指數在收盤的那一刻其波動率會略微下降，而納士達克指數仍會繼續攀升，此表示道瓊指數的投資者傾向於在收盤前十分鐘即會完成當日交易。此外，納士達克之日內報酬所形成的高斯分配，其分配寬度大於道瓊，這也意味著納士達克的交易市場其風險高於道瓊工業指數。隨後，為探討日內效果，本文將整體的樣本資料分成開盤、午餐及收盤三段期間。結果發現，無論是道瓊或納士達克指數，開盤期間的高斯分配在三段交易期間中，其中心位置最偏左、分配寬度也最寬，本文推論這是由於隔夜資訊被累積到下一個交易日早上，因此開盤期間的風險總是位居一日中之最高。 再者，本研究亦發現，單獨討論週間效果而未同時將日內與週間效果納入考慮時，容易使其中一交易期間的正負報酬被另一交易期間的報酬所稀釋，而造成整體的結論產生偏誤。當我們僅考慮週間效果時會發現，週末效果似乎已經不存在；然而若同時考量週間與日內兩種效果，將報酬分為三段交易期間來看時，卻會發現週末效果並未消失，僅是提前或延後發生而已。而利用高斯函數來配適日內報酬時發現，不論道瓊或納士達克指數，週四的分配寬度最寬、而週一與週二的寬度最窄，且週二的午餐時間其分配高度是最高的，故在日內報酬的資料中，日內效果是會影響週間效果的。相對的，利用對數常態分配來配適波動率資料時，週一與週二的平均波動率與分配最高點的機率最低、週四的平均波動率與分配最高點的機率最高，但在日內波動率資料的分配裡，日內效果是不顯著的。
並列摘要
****This study uses the probability distribution techniques to explore the intraday effect and weekday effect of the 10-minuate high frequency returns for the Dow Jones Industrial Average (DJIA) and NASDAQ composite indices. We find that both DJIA and NASDAQ can form a U-shaped pattern by using absolute intraday returns. However, the U-shape from the DJIA index slightly declines at the closing time, while the U-shape from the NASDAQ index still goes up at the closing time. It implies that most investors of DJIA finish their last trading strategy before ten minutes of the closing. Moreover, the width of the Gaussian distribution in NASDAQ is always wider than in DJIA. This result proves that the trading market in NASDAQ is more risky than in DJIA. Later, as we re-group total intraday returns into the opening, lunch and closing three subgroups, we find that no matter DJIA or NASDAQ index, the lowest center and widest width of the Gaussian distribution occur at the opening trading period. This means that the overnight information is cumulated until next morning, so the opening trading period is the most risky for a whole trading day. Furthermore, it is more likely to cause the sign of intraday returns at one specific trading period to be swamped by the sign of intraday returns at the other specific trading period when we only discuss the weekday effect without considering the intraday effect. If we only consider the weekday effect, the weekend effect seems disappearing. However, if we add the intraday effect and re-classify total intraday returns according to the trading time and the weekday, we will find that the weekend effect still exists, but the occurrence of the weekend effect may be advanced or postponed. Besides, using the Gaussian function to refit the intraday returns, we can find that no matter DJIA or NASDAQ, Thursday has the widest width, while Monday and Tuesday have the narrowest width. Meanwhile, the lunch trading period on Tuesday has the highest height. As a result, we infer that the intraday effect will affect the weekday effect in intraday returns. Similarly, using the log-normal distribution to refit the intraday volatilities, we find that Monday and Tuesday have the lowest average volatility and the lowest peak, while Thursday has the highest average volatility and the highest peak. However, the intraday effect is not significant via observing distributions of intraday volatilities.
參考文獻
延伸閱讀
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