融券賣出對星期效應及反轉星期效應的影響

The Impact of Short Sale on Weekend Effect and Reverse Weekend Effect

10.6270/JIBM.2013.4(2)69

許凱翔(Kai-Hsiang Hsu)；胡吳岳(Wu-Yueh Hu)；黃志仁(Chih-Jen Huang)

星期效應 ； 反轉星期效應 ； 融券賣出 ； short sale ； weekend effect ； reverse weekend effect

創新與經營管理學刊

4卷2期（2013 / 12 / 01）

69 - 79

繁體中文

本文主要以台灣50指數及臺灣中型100指數為研究樣本，收集自2010年1月到2012年12月的相關資料用以探討台灣是否存在著星期效應以及反轉的星期效應，並且研究星期效應及反轉的星期效應產生之原因。我們的研究結果顯示台灣股票市場的確存在著星期效應以及反轉的星期效應，此結論支持簡加明（2011）的研究結果。此外，我們發現星期效應及反轉的星期效應產生的原因主要來自融券放空者的行為，受高融券放空的公司所產生之星期效應以及反轉星期效應皆較受低融券放空的公司來的強烈。最後，研究結果顯示星期效應及反轉的星期效應在多頭市場與空頭市場並無顯著的差異。

The objective of this paper is to test whether the weekend effect and the reverse weekend effect exist in Taiwan stock market. Furthermore, we also examine the relationship between short sellers and these two effects, and other determinants affect the weekend and the reverse weekend effect. We use the data of the TSEC Taiwan 50 index and Taiwan Mid-Cap 100 Index from June 2010 to December 2012. Our empirical results show that both the weekend and reverse weekend effects do exist in Taiwan stock market, which support the findings from Jian (2011). Besides, short sellers significantly affect the weekend and reverse weekend effects. We find that the weekend and reverse weekend effects are stronger on those stocks with high short selling margin than those stocks with low short selling margin. In the end, we find that whether the market is bullish or bearish, it seems having no effect on the weekend and reverse weekend effect.