探討新台幣兌美元匯率之季節性異常效應

本研究探討台灣外匯市場中，新台幣兌美元匯率的報酬率、成交量以及波動度，是否存在季節性異常效應。其中季節性效應包括:星期效應、月初/月中/月底效應、月份效應以及季度效應。本文並將樣本期間分成四個時期分別進行研究: 整體樣本(1989/4/3--2021/9/30)、1997年亞洲金融風暴前(1989/4/3--1997/6/30)、1997年亞洲金融風暴到2008年金融海嘯之間(1997/7/1--2008/8/31)以及2008年金融海嘯之後(2008/9/1--2021/9/30)。實證結果發現:在新台幣兌美元匯率的研究中，新台幣於每週一傾向貶值(美元傾向升值)，而在每週三及每週四新台幣明顯傾向升值(美元傾向貶值)。新台幣兌美元匯率亦發現新台幣匯率有月中明顯貶值傾向的月中效應，以上兩種季節性效應在近年有減弱趨勢。此外，新台幣兌美元匯率於五月、七月和八月份新台幣傾向貶值(美元傾向升值)，而新台幣於一月及四月傾向升值(美元傾向貶值)，但一月及四月的升值傾向在統計上較不顯著。第一季新台幣傾向升值(美元傾向貶值)，而在第三季新台幣傾向貶值(美元傾向升值)。本研究結論可供企業管理者、財務人員以及外匯投資者，在選擇新台幣與美元匯率的換匯時間點及相關外匯商品投資做為參考。

關鍵字

新台幣兌美元匯率；台灣外匯市場；季節性效應；效率市場；星期效應；月份效應

並列摘要

This study investigates whether there are seasonal anomaly effects in the rate of return, transaction volume and volatility of USD/TWD exchange rate in the Taiwan foreign exchange market. The seasonal effects include the day-of-the-week effect, turn-of-the-month, middle-of-the-month and end-of-the-month effect, the month-of-the-year effect, and the quater-of-the-year effect. The sample period is divided into four subperiods: the full sample (April 3, 1989--September 30, 2021), before the 1997 Asian financial crisis (April 3, 1989--June 30, 1997), between the 1997 Asian financial crisis and the 2008 financial crisis (July 1, 1997--August 31, 2008), and after the 2008 financial crisis (September 1, 2008--September 30, 2021). The empirical results found that in the research of USD/TWD exchange rate, the TWD tends to depreciate on Mondays (the U.S. dollar tends to appreciate) and appreciate on Wednesdays and Thursdays (the U.S. dollar tends to depreciate). The TWD has a mid-month effect with a tendency to depreciate in the middle of the month. These two seasonal effects have weakened in recent years. In addition, TWD tends to depreciate in May, July and August (the U.S. dollar tends to appreciate), while the TWD tends to appreciate in January and April (the US dollar tends to depreciate). The tendency to appreciate is less statistically significant. In the first quarter, TWD tends to appreciate (the U.S. dollar tends to depreciate), and in the third quarter TWD tends to depreciate (the U.S. dollar tends to appreciate). The findings of this study may be useful for business managers, financial officers, and foreign exchange investors to make decisions on the timing of USD/TWD exchange rate and related FX investment products.