AN EMPIRICAL STUDY ON JANUARY DAY-OF-THE-WEEK EFFECT IN REFERENCE TO FINANCING-ORIENTED COMMERCIAL PAPERS
| Autor: | Hui-wen Chuang, 莊惠雯 |
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| Rok vydání: | 2005 |
| Druh dokumentu: | 學位論文 ; thesis |
| Popis: | 93 The purpose of this study is to verify the day-of-the-week effect on the January of Taiwan’s financing commercial papers. We manipulate the GARCH model and the daily data from 1994 to 2004. The results indicate that the 30-day commercial papers exhibit a Monday effect and the 90-day commercial papers show a Thursday effect while the 180-day commercial papers exist both Tuesday and Thursday effect. The evidences prove that the commercial papers exist the day-of-the-week effect which does not conform the weak form efficient market hypothesis. In addition, we try to find day-of-the-week affected factors of financing commercial papers. We fit stock price index and exchange rate into regression analysis. The results are as followed: Financing commercial papers interest rates are affected by atock price index and show a positive relationship. Financing commercial papers interest rates are affected by exchange rates and exist a negative relationship. |
| Databáze: | Networked Digital Library of Theses & Dissertations |
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