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    Please use this identifier to cite or link to this item: http://tkuir.lib.tku.edu.tw:8080/dspace/handle/987654321/101957

    Title: 台灣股票市場的動能策略與券商交易資訊
    Other Titles: The momentum strategy and trading information of broker branches in Taiwan stock market
    Authors: 劉冠宏;Liu, Kuan-Hung
    Contributors: 淡江大學財務金融學系碩士班
    Keywords: 動能策略;營業券商;交易策略;Momentum Strategy;Broker Branches;Trading Strategy
    Date: 2014
    Issue Date: 2015-05-04 09:43:57 (UTC+8)
    Abstract: 本文利用動能策略的選股方法篩選近年來台灣證券交易所於每日收盤過後公布之營業券商買賣超明細,買入(賣出)形成期為期一個月以及兩個月所篩選出來的主力買(賣)方個股,形成一個新的投資組合。試圖檢驗其新的投資組合是否可為投資人帶來豐厚的報酬。
    This thesis used the daily net buying and the daily net selling data of broker branches from the TWSE (Taiwan Stock Exchange). Sum of the daily net buying (selling) of top 30 brokers trading dollars in one month to consider as formation period and ranked them by net buying (selling) at the formation period as a new investment portfolios, we were test the new investment portfolios may bring a huge profit.
    The sample covers the daily period from July 1, 2011 to December 31, 2013, including 661 trading days. First, to found the new investment portfolios may bring forward returns however holding winners and selling losers in one to twelve months. Second, adding to the momentum strategy, it is found that the returns of buying the new winners and selling the new losers also were bring forward returns however holding winners and selling losers in one to twelve months. More importantly the second trading strategy may bring profit more than the first one.
    Appears in Collections:[財務金融學系暨研究所] 學位論文

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