本研究旨在探討台灣股市之TOM (Turn of month月份轉換) 效應。研究樣本為2013年至2022年台灣經濟新報資料庫(TEJ)的加權指數及20個產業類股指數，設定TOM週期並檢定TOM週期的平均報酬率是否顯著異於ROM (Rest of month)週期的平均報酬率，進而判定台灣產業是否具有TOM效應。

實證結果顯示，雖然台灣加權指數的TOM週期相對於其它交易日可獲得比較高的報酬，但其差距並不顯著。電機機械業、化學工業、生技醫療業、營造建材業、航運業及觀光事業指數具有TOM效應。本文進一步研究TOY (Turn of year年份轉換)效應及TOQ (Turn of quarter季度轉換)效應，發現加權指數無顯著TOY效應，各產業類股亦無顯著TOY效應。加權指數無顯著TOQ效應；然而食品業、紡織纖維業、橡膠業、資訊電子業、運輸業在90%信心水準下，有顯著TOQ效應；電機機械業、化學工業、生技醫療業在99%信心水準下有顯著TOQ效應。

This study aims to explore the TOM (Turn of month) effect in Taiwan stock market. The research samples are the capitalization weighted stock index and 20 industry stock indexes of Taiwan Economic Journal (TEJ) from 2013 to 2022. This study test whether the average rate of return of the TOM period is significantly different from that of the ROM (Rest of month) period and further finds out which industry in Taiwan has TOM effect.

The result shows that the TOM period of weighted stock index can obtain relatively high returns compared with other trading days, but the difference is not significant. However, in the Electrical machinery industry, chemical industry, biotechnology medical industry, construction materials industry, shipping industry and tourism industry, they have TOM effect. This study further studies the TOY (Turn of year) effect and TOQ (Turn of quarter) effect. The evidence show that the weighted stock index has no significant TOY effect, and other industry stock has no significant TOY effect either. Moreover, the weighted stock index has no significant TOQ effect, but the food industry, textile fiber industry, rubber industry, information electronics industry and transportation industry have significant TOQ effect at 90% confidence level. The electrical machinery industry, chemical industry, biotechnology industry and medical industry have significant TOQ effect at 99% confidence level.

中文文獻

〔1〕李春旺、劉維琪、高孔廉:〈股價行為與規模效應:臺灣股票市場實證研究〉， 《管理評論》，8，1989，99-121頁。

〔2〕黃培紋:〈月轉換效應－以台灣證券市場為例〉。碩士論文，逢甲大學，2010

〔3〕黎國揚:〈規模效果和元月效應之微觀〉。碩士論文，國立中央大學，2004

英文文獻

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