| Summary: | 碩士 === 淡江大學 === 金融研究所 === 83 === This study decomposes the daily returns in two parts: nontra-
ding period returns and trading period returns, join trading
vol- ume, and use these types to undertake further
investigation of the Weekend Effect , the January Effect, Turn
of Month Effect and Closing Effect in the Taiwan spot US dollar
market. The scope of sample in this study contains 1621
trading days from Spring 1989 to October 1994 , non-parametric
procedures are used to test these hypothesis. The conclusions
of this empirical test decomstrates the foll- owing: 1. the
Weekend Effect Although the hypothesis of equal means for the
daily returns ,trading period returns and trading volume across
all days of the week is all rejected,the average returns of
Monday is the highest , the lowest average returns happens on
Thursday. Therefore,there is not the Weekend Effect in the
Taiwan spot US dollar market, there is day-of-the-week effect
in it. 2. the January Effect Evidence is provided that there is
strong seasonality in the Taiwan spot US dollar market. But
the average returns of January is lower and negative , it does
not confirm the existence of the January Effect. 3. the Turn
of Month Effect There is evidence of reverse Turn-of-Month
Effect in Taiwan spot US dollar market when turn of month is
defined as the last and first three days of the month. 4.
Closing Effect The average returns of post-holiday was low in
Taiwan spot US dollar market, but it''s not a general ''closed-
market'' effect.
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