自1988年起，陸續有許多實證研究顯示個股和加權股價指數的報酬都存在著系統性的變化，這些系統性變化也就是日曆異常現象，包括元月效應、週末效應和假日效應，而其中以假日效應最強烈、也最為明顯。假日效應是指在假日前幾天交易日的報酬會顯著的高於一般交易日的平均報酬，而假日後幾天交易日的報酬會顯著低於一般交易日的報酬，近幾年也陸續在期貨市場發現顯著的假日效應。本論文以臺指期貨、電子期貨、金融期貨以及小型臺指期貨為例，驗證假日異常報酬效應是否存在台灣的期貨市場。研究結果顯示，假日前的平均報酬大致高於一般交易日的平均報酬，但並不顯著異於一般交易日的報酬；在假日後報酬方面，假日後平均報酬普遍低於一般交易日報酬，只有在涵蓋週末的假日定義下，假日後報酬顯著低於一般交易日的報酬，表示假日效應並不顯著。此外，假日前當日和一般交易日報酬為正的天數在卡方檢定下沒有顯著的差異，說明投資人在假日前交易獲取正報酬的機率並不顯著大於一般交易日。
最後，在本研究中，存貨調整假說、其他異常日曆效果和心理因素此三個造成假日效應的假說並未獲得證實，顯示假日效應在台灣期貨市場不顯著。

Empirical evidence reveals the present of abnormal returns for the day preceding holidays in the equity markets and limited futures markets. In this paper, we have no evidence of significantly higher pre-holiday returns, but a slightly weaker effect is observed in the post-holiday trading in Taiwan futures markets. When we examine trading days individually, only a post-holiday effect for weekend holidays is obvious. The post-holiday effect doesn’t exist anymore after adjusting returns for the Weekend effect. Hence, the post-holiday effect is due to the Weekend effect.
	Inventory adjustment hypothesis, other seasonal anomalies and the favorable holiday moods are three possible explanations for the excess holiday returns, but they are not evident in trading process. Therefore, the holiday effect is not existence in Taiwan Futures Markets.

目錄	
第一章 緒論.....................................................................................................................	1
第一節 研究動機....................................................................................................	1
第二節 研究目的....................................................................................................	3
第三節 研究架構....................................................................................................	3
第二章 文獻回顧.............................................................................................................	5
第二節 假日效應之文獻以及與假日效應相關異常報酬現象之文獻...........	7
第三章 研究方法與資料來源........................................................................................	20
第一節 檢定假日效應............................................................................................	20
3.1.1 各種假日定義........................................................................................	21
3.1.2 迴歸分析................................................................................................	23
3.1.3 頻率分析................................................................................................	23
3.1.4 分年觀察................................................................................................	24
第二節 假日前異常波動性效應...........................................................................	24
第三節 假日效應的可能成因...............................................................................	25
3.3.1 存貨調整假說........................................................................................	25
3.3.2 其他異常日曆效應...............................................................................	26
3.3.3 心理因素................................................................................................	27
第四節 資料來源與研究期間...............................................................................	27
第四章 實證結果.............................................................................................................	28
第一節 假日異常報酬率效應...............................................................................	28
4.1.1各種不同假日定義之異常報酬率.......................................................	28
4.1.2 迴歸分析................................................................................................	31
4.1.3 頻率觀察................................................................................................	33
4.1.4 分年觀察................................................................................................	35
第二節 假日異常波動性效應...............................................................................	39
4.2.1 各種不同假日定義之異常波動性......................................................	39
第三節 假日效應的可能成因...............................................................................	41
4.3.1 存貨調整定理........................................................................................	41
4.3.2 其他異常日曆效果的影響..................................................................	46
4.3.3 心理方面的因素...................................................................................	48
第五章 結論...............................................................................................................	49
參考文獻............................................................................................................	50

表次	
【表1-1】國內期貨市場分年成交量.............................................................................	2
【表2-1】各市場假日前報酬與一般交易日報酬........................................................	8
【表3-1】台灣休假與未休假之節日表.........................................................................	22
【表4-1】假日前、假日後交易日以及一般交易日的平均報酬.................................	29
【表4-2】迴歸分析...................................................................................................	32
【表4-3】頻率分析.........................................................................................	34
【表4-4】假日定義A下，假日前、假日後以及一般交易日的平均報酬率(%)…..	36
【表4-5】假日定義B下，假日前、假日後以及一般交易日的平均報酬率(%)…...	38
【表4-6】假日前(後)交易日以及一般交易日的變異數...........................................	40
【表4-7】假日前、假日後交易日以及一般交易日的平均成交量............................	42
【表4-8】假日前(後)交易日變化情形.........................................................................	43
【表4-9】假日定義為A、B、E三種情形下，假日前後的交易量變化情形……...	45
【表4-10】台灣期貨市場各種異常報酬的檢定…………...………………………	47
圖次	
【圖1-1】研究流程圖........................................................................................................	4

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中文文獻

羅弘璿，1995，台灣股票市場假日效應之研究，國立交通大學管理科學研究所碩士論文。

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