股市報酬率、波動性和分配之週末效果實證研究

The Weekend Effect of Returns, Volatility and Distribution in Stock Markets

10.6626/MR.2008.8.02

黃健銘(Chien-Ming Huang)；蘇榮斌(Jung-Bin Su)；李彥賢(Yen-Hsien Lee)

週末效果 ； ARJI模型 ； 偏態GED ； 高狹峰厚尾 ； Weekend effect ； ARJI model ； Skewed GED ； Leptokurtic and Fat tail

管理研究學報

8卷（2008 / 12 / 01）

31 - 53

繁體中文

本研究目的在於檢測各國大盤股市是否存在週末效果(weekend effect)的異常現象，並進一步探討對其股市報酬率波動性的影響。研究標的選取開發中國家之台灣、香港、新加坡和馬來西亞，已開發國家為美國、日本、澳洲和加拿大。實證模型採用ARJI模型且假設報酬率分配服從偏態GED分配，以捕捉各國大盤股價報酬率偏態及高峰厚尾之特性。實證結果顯示，在報酬率方面，新加坡和馬來西亞呈現出週末效果的異常現象，香港則呈現反週末效果，已開發國家除加拿大呈現出反週末效果外，其他國家皆不存在週末效果的現象。在波動性方面，台灣週一交易日對大盤報酬的波動呈正向影響，而週五交易日則呈負向影響，美國週一為負向關係，日本週一及週五兩個交易日皆呈現正向關係。在偏態和峰態方面，開發中國家皆呈現左偏及高狹峰厚尾的分配，而已開發國家也呈現出高狹峰厚尾的型式，但在偏態估計值僅有加拿大呈現右偏狀態，其餘三個國家則無偏態型式。在樣本期間非預期事件的衝擊，已開發國家平均跳躍頻率和平均跳躍機率皆大於開發中國家。

This paper investigates the abnormal phenomenon of weekend effect of stock markets in the developing countries such as Taiwan, Hong Kong, Singapore, and Malaysia and the developed countries such as the U.S., Japan, Australia, and Canada. We used the ARJI model and SGED distribution which can be used to catch the skew, leptokurtic and tail. Empirical results show that the weekend effect presents in both Singapore and Malaysia, but Hong Kong exhibits the reversing weekend effect. In addition, it doesn't show the existence of the weekend effect in all developed countries, while Canada has a reversing weekend effect. In the volatility, there are positive significantly relationships on Monday, but negative on Friday in Taiwan's equity market, and America also presents the negative significantly relationship on Monday. Japan has a positive significantly outcomes on Monday and Friday. Other countries have no significant effect. On the other hand, the distribution of return presents the skewed and heavy-tailed in all developing countries, whereas developed countries have no skewness shape. In the unexpected information shocks, the average jump intensity and probability of developed countries are larger than developing countries.