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    Please use this identifier to cite or link to this item: http://tkuir.lib.tku.edu.tw:8080/dspace/handle/987654321/31526

    Title: 動能策略之統計套利-市場趨勢驗證
    Other Titles: The statistical arbitrage of momentum strategy with market state
    Authors: 戴淑婷;Tai, Shu-ting
    Contributors: 淡江大學財務金融學系碩士班
    林蒼祥;Lin, William T.;蔡蒔銓;Tsai, Shih-chuan
    Keywords: 動能策略;市場狀態;統計套利;處分效果;Momentum Strategy;Statistical Arbitrage;Market state;disposition effect
    Date: 2009
    Issue Date: 2010-01-11 00:51:45 (UTC+8)
    Abstract: 本文以統計套利探討市場狀態對價格動能策略之影響,以驗證市場具有不效率性,並以行為財務學之處分效果與過度自信效果探討市場不效率性之原因。使用台灣上市之普通股週資料,樣本期間為民國88年1月01日至民國97年8月31日。
    In this study, we use the statistical arbitrage to analysis the influence of market states to momentum strategies in Taiwan and intend to demonstrate that if the market efficiency is tenable. We also use the “disposition effect” and “over-confidence effect” in behavior finance to explain the source of market inefficiency. Our sample is the weekly data of stock market in Taiwan from 1999 to 2008.
    Our result shows that when we use the traditional student’s t test, the momentum strategies have positive significant return in up-market, but negative insignificant return in down-market. In the four models of statistical arbitrage, the momentum weekly return has significant statistical arbitrage opportunity. The momentum return is more significant in the up-market than in the down market. We observe the “disposition effect” and “over-confidence effect” in different market states. The net over-confidence factors are significant positive in two classes by all categories in up-market, but offset in down-market and make the momentum insignificant. Finally, we use the robust test to confirm that the momentum return doesn’t come from firm size, overlapping, market state definition, market friction. The momentum strategies still have excess return and are inconsistent with market efficiency.
    Appears in Collections:[財務金融學系暨研究所] 學位論文

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