Be greedy when others are fearful: Evidence from a two-decade assessment of the NDX 100 and S&P 500 indexes

doi:10.1016/j.irfa.2023.102856

淡江大學機構典藏 > 商管學院 > 管理科學學系暨研究所 > 期刊論文 > Item 987654321/125118

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题名:	Be greedy when others are fearful: Evidence from a two-decade assessment of the NDX 100 and S&P 500 indexes
作者:	Ni, Yen-sen
关键词:	Profitability;TRB trading rule;Momentum strategies;Contrarian strategies;Index ETFs;Average holding period return
日期:	2023-08-05
上传时间:	2024-03-01 12:06:39 (UTC+8)
摘要:	This study explores the profitability of trading range breakout (TRB) trading rules and commonly used moving average (MA) trading rules in the NDX 100 and S&P 500 indices. Its objective is to offer practical insights for investors who own QQQ and SPY, two popular ETFs that track these two indices. Using big data analytics, the study reveals that investors who trade and hold these two ETFs can potentially profit from using TRB instead of MA trading rules. Unexpectedly as opposed to buying signals from TRB trading rules or momentum MA trading rules, investors may obtain much higher returns by purchasing these ETFs (i.e., QQQ and SPY) as selling signals emitted by TRB rules, particularly by buying these ETFs as stock prices break below 150-day low and 200-day low, a situation in which many investors may experience panic due to the continuously falling share price. As such, we argue that our findings may suggest that being greedy when others are fearful (i.e., the Warren Buffett quote) is of significance to this study.
關聯:	International Review of Financial Analysis 90,　102856
DOI:	10.1016/j.irfa.2023.102856
显示于类别:	[管理科學學系暨研究所] 期刊論文

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