| 摘要(英) |
This study aims to explore the TOM (Turn of month) effect in Taiwan stock market. The research samples are the capitalization weighted stock index and 20 industry stock indexes of Taiwan Economic Journal (TEJ) from 2013 to 2022. This study test whether the average rate of return of the TOM period is significantly different from that of the ROM (Rest of month) period and further finds out which industry in Taiwan has TOM effect.
The result shows that the TOM period of weighted stock index can obtain relatively high returns compared with other trading days, but the difference is not significant. However, in the Electrical machinery industry, chemical industry, biotechnology medical industry, construction materials industry, shipping industry and tourism industry, they have TOM effect. This study further studies the TOY (Turn of year) effect and TOQ (Turn of quarter) effect. The evidence show that the weighted stock index has no significant TOY effect, and other industry stock has no significant TOY effect either. Moreover, the weighted stock index has no significant TOQ effect, but the food industry, textile fiber industry, rubber industry, information electronics industry and transportation industry have significant TOQ effect at 90% confidence level. The electrical machinery industry, chemical industry, biotechnology industry and medical industry have significant TOQ effect at 99% confidence level. |
| 參考文獻 |
中文文獻
〔1〕李春旺、劉維琪、高孔廉:〈股價行為與規模效應:臺灣股票市場實證研究〉， 《管理評論》，8，1989，99-121頁。
〔2〕黃培紋:〈月轉換效應－以台灣證券市場為例〉。碩士論文，逢甲大學，2010
〔3〕黎國揚:〈規模效果和元月效應之微觀〉。碩士論文，國立中央大學，2004
英文文獻
〔1〕Ariel, R. A. “A monthly effect in stock returns.” Journal of financial economics. Vol 18(1), 1987, pp.161-174.
〔2〕Lakonishok, J., & Smidt, S. “Are seasonal anomalies real? A ninety-year perspective. ” The review of financial studies, Vol 1(4), 1988, pp.403-425.
〔3〕Lee, Y. K., & Kim, R. “The turn-of-the-month effect and trading of types of investors.” Pacific-Basin Finance Journal, Vol 75, 2022 , pp.101826
〔4〕Ogden, J. P. “Turn‐of‐month evaluations of liquid profits and stock returns: A common explanation for the monthly and January effects.” The Journal of Finance, Vol 45(4), 1990, pp.1259-1272.
〔5〕Pettengill, G. N., & Jordan, B. D. “A comprehensive examination of volume effects and seasonality in daily security returns.” Journal of Financial Research, Vol 11(1), 1988, pp.57-70.
〔6〕Thaler, R.“Anomalies: Seasonal movements in security prices II: weekend, holiday, turn of the month, and intraday effects. ” Journal of Economic Perspectives, Vol 1(2), 1987, pp.169-177.
〔7〕Ziemba, W. T. “Japanese security market regularities: Monthly, turn-of-the-month and year, holiday and golden week effects.” Japan and the world Economy, Vol 3(2), 1991, pp.119-146. |
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