| Summary: | 碩士 === 國防管理學院 === 國防財務資源研究所 === 93 === Abstract
Many scholars did a lot of researches to test whether financial markets following the EMH (Efficiently Market Hypotheses), the findings have no confirmatory results. The main purpose of this article is to examine whether the futures market exist the “Seasonality”- including “Turn-of-the-Year Effect”, “Day-of-the-Week Effect”, “Calendar Effect” and “Monthly Effect”.
In order to examine whether Stock Index Futures of Taiwan Futures Exchange exist the “Seasonality”, we study four main futures in Taiwan. The four futures are “Taiwan Stock Exchange Capitalization Weighted Stock Index (TX)”, “Taiwan Stock Exchange Electronic Sector Index (TE)”, “Taiwan Stock Exchange Finance Sector Index (TF)” and “Mini Taiwan Stock Exchange Capitalization Weighted Stock Index (MTX)”. To investigate this issue, dummy variable regression model and Kruskal-Wallis test are applied for examining the “Seasonality” phenomenon in Taiwan during the period from 1998/7/21 to 2005/2/28.
The results indicate that some futures of TAIFEX existing “Seasonality” phenomenon:
1. “TX”, “TE” and “TF” have the Turn-of-the-Year effect on January with significant positive returns and “TX”, “TE”, “TF” and “MTX” show the Turn-of-the-Year effect on May with significant negative returns.
2. Only “TE” and “TF” show the Day-of-the-Week effect on Monday with significant negative returns, but the others don’t.
3. All of Stock Index Futures of TAIFEX don’t show the “Weekend Effect”, but show the “Calendar Effect”.
4. Only “TF” and “MTX” show the “Monthly effect”.
|
|---|
