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The Efficiency of Forward Exchange Market In Taiwan - A Empirical Analysis of The Seasonal Anomaly 陳志奇、陳家彬;潘振雄

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The Efficiency of Forward Exchange Market In Taiwan - A Empirical Analysis of The Seasonal Anomaly

陳志奇、陳家彬;潘振雄

E-mail: [email protected]

ABSTRACT

學界對於遠期外匯市場的效率性之實證方法，大多建立在簡單效率假 說之基礎上進行，本研究則把常用於研究資本市場效 率性之季節性異常( Seasonal anomaly)報酬現象的效應檢定模型，應用在遠期外匯市場的效 率性檢定之上。 本研究觀察遠 期匯率的報酬率是否有季節性異常現象 ：例如星期效應或是月份效應等。 主要內容包含:一. 常態性檢定:以 複迴歸分析為 基礎，當樣本符合常態性時，F 統計量檢定之結果將合理且 有效率，若無法符合常態性假設時，則需以無母數統計法來對 效應模型進 行檢定。二. 複迴歸分析:利用 SAS 軟體進行線性模式分析及變異數分析 。三. 無母數統計分析:利用 K-W Test 來檢定多個非來自常態母體之樣 本的平均水準是否有差異。 研究結論如下:一. 常態性檢定:(1)月資 料可以複迴歸分析來進 行月份效應檢定，(2)日資料需以無母數K-W檢定來 進行。二. 月份效應檢定:(1) 第一子期除了30天期匯率外，其餘各天期 均無月份效應存在，(2) 第二子期均存在月份效應，(3)全期除了30天期 及120天期外，其餘均不存在月份效應。三. 星期效 應檢定:(1) 第一子期 均不存在星期效應，(2) 第二子期均存在星期效應，(3) 全期方面，各天 期存在星期效應。 總結以上的 檢定結果可知，以本研究所討論的月份 效應及星期效應而言，結論為台灣遠期外匯市場不符合效率市場假說。

Keywords : Efficiency ; Seasonal Anomalies ; Month-of-the-year effect ; Day-of-theweek effect ; Forward exchange market ; Simple efficiency hypothesis

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