An Efficiency scrutiny of Repo Market in Taiwan

• Main Authors: Chien-cheng Wang, 王見成
• Other Authors: Jack J.W. Yang
• Format: Others
• Language: zh-TW
• Published: 1995
• Online Access: http://ndltd.ncl.edu.tw/handle/14682091512989749915

碩士 === 國立雲林科技大學 === 企業管理研究所 === 83 === Ususally,the return of financial assets is not a random one. In other words,it shows a systematic movement. A lot of re- search exploring the stock market efficiency has been conducted in the past four decades. However, the studies regarding the money market efficiency is, relatively speaking, scarce.Thus, the main purpose of this paper is to fill the gap by investi- gating the market efficiency of the repurchase agreements (Repo)---- a popular money market instrument. Five widely- mentioned seasonal anomalies, i.e., day-of-the-week, month- of -the-year,day-of-the-month,holiday, and ten-days effects are examined to see whether the return of Repos with different maturities exhibit a traceable trend. Via the use of OLS (Ordinary Least Square), and a data for three-year period end- ing in Jan. 1995, the empirical findings indicate the Repo mar- ket in Taiwan witnesses January, Saturday, and holiday effects. In essence, the Repo market in Taiwan, to a large degree, does not reach the weak-form efficiency.