以往對於星期效應的相關研究以市場指數為主，未探討單一個股之間是否存在星期效應，另外，對於星期效應的研究重點為「星期效應是否存在？」與「造成星期效應的原因為何？」等。本文以美國大型股票為樣本，探討個股是否存在星期效應，並以星期效應的存在與否為根據去進行關聯分析，探討透過關聯分析形成之投資組合是否能帶來獲利。我們發現個股並不全面具有星期效應。我們的實證結果支持投資人可以挑選出無星期效應之個股，找到各自的內部關聯形成具有高獲利與高勝率的投資組合。

The previous studies regarding the weekend effects have focused on market index rather than stocks, and have concerned about the existence and reasons of the weekend effects. Examining US stocks with big size, the current study identifies if the weekend effect exists within the stocks. The study also analyzes if the portfolios which are recommended by the association rule can be profitable. Our results show that the weekend effect appears within some stocks, but not all stocks. The stock portfolios constructed by non-weekend-effect stocks and by the association rule analysis can be profitable and can have high winning rate.

摘要.............................................................i
Abstract......................................................ii
目次...........................................................iii
圖次............................................................v
表次...........................................................vi

第壹章 前言..............................................1
第一節 研究動機.......................................1
第二節 研究目的.......................................3
第三節 研究結果.......................................4
第四節 研究貢獻.......................................4
第五節 研究架構.......................................5

第貳章 文獻探討.......................................7
第一節 星期效應.......................................7
第二節 關聯分析.....................................11
第三節 投資組合.....................................12

第參章 資料與研究方法...........................13
第一節 資料來源.....................................13
第二節 星期效應的假設檢定....................13
第三節 關聯分析.....................................14
第四節 投資組合績效..............................17
第五節 研究流程.....................................19

第肆章 實證結果分析...............................21
第一節 星期效應的統計檢定與分組...........21
第三節 關聯分析......................................22
第四節 關聯投資組合的敘述統計...............24
第五節 勝率評估......................................24
第六節 績效預測......................................25

第伍章 結論與建議...................................27
第一節 結論.............................................27
第二節 建議.............................................28

參考文獻...................................................29
中文參考文................................................29
英文參考文獻.............................................29

中文參考文獻
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