Test of Abnormad Return in Taiwan Security Market

• Main Authors: Shoou-bihn Chern, 陳守賓
• Other Authors: Ching C. Hsu
• Format: Others
• Language: zh-TW
• Published: 1993
• Online Access: http://ndltd.ncl.edu.tw/handle/93814403788735361372

碩士 === 淡江大學 === 金融研究所 === 82 === In the financial markets, money market is a place which companies and some economic units can get their short-term money. Therefore, the fluctuation of the interest rate of money market could change companies'' assets returns and influence on the management strategy of corporations''s short- term money. However, the behavior of the interest rate depends on a variety of reasons, such as maturity, market efficient, and arbitrage opportunity existing on the money market. It is hardly to discuss the behavior of the interest rate without credible data. In this thesis, I use the interest rate of commercial paper to analize its returns which can fully describe the information of the abnormal returns of money market. As to the data, I collect a variety of daily ask/bid average interest rate of commercial papers in this thesis, caculate their comparative returns by a returns formula, and test whether their returns satisfy the assumed normality or not. And we find it is not. Therefore, we go in another non- parameter statistics for testing the returns abnormity. The testing results we get are in the following: 1) In comparative, Monday''s returns and Friday''s returns exist signally abnormity. 2) The abnormity returns of short-term commercial paper is influenced by the fact of the off-trading of money market. 3) Abnormity returns is also occured in Lunar January, Lunar July, September, and October. 4) The replenished day of reserve money has some influence on commercial paper''s abnormity returns. 5) There are not signally differential returns between general trading day and trading days around three Chinese festivals.