English  |  正體中文  |  简体中文  |  Items with full text/Total items : 51510/86705 (59%)
Visitors : 8262936      Online Users : 78
RC Version 7.0 © Powered By DSPACE, MIT. Enhanced by NTU Library & TKU Library IR team.
Scope Tips:
  • please add "double quotation mark" for query phrases to get precise results
  • please goto advance search for comprehansive author search
  • Adv. Search
    HomeLoginUploadHelpAboutAdminister Goto mobile version
    Please use this identifier to cite or link to this item: http://tkuir.lib.tku.edu.tw:8080/dspace/handle/987654321/31586


    Title: 考慮投資人情緒下之動量策略
    Other Titles: Momentum strategy under investor sentiment
    Authors: 夏斌威;Hsia, Pin-wei
    Contributors: 淡江大學財務金融學系碩士班
    林蒼祥;Lin, William. T.
    Keywords: 動量策略;反向策略;投資人情緒指標;市場週轉率;Momentum Strategy;Contrarian Strategy;Investor Sentiment;Market turnover
    Date: 2007
    Issue Date: 2010-01-11 01:00:22 (UTC+8)
    Abstract: 本研究主要探討台灣股市之動量投資策略,有別於傳統的固定持有期間作法,本研究依投資人情緒指標決定持有期間,結合動量投資策略與反向投資策略之應用。研究樣本為台灣上市、上櫃之普通股交易日資料,研究期間為1997年7月1日~2006年6月30日,投資人情緒指標以市場週轉率為代理變數。分別就市場週轉率移動平均線與當日週轉率判斷之綜合投資策略、長短期市場週轉率移動平均線判斷之綜合投資策略及固定持有期間之動量投資策略三種方法作比較分析。
    實證結果發現,在固定持有期間之投資策略,存在短期動能效果。若依投資人情緒決定持有期間,在市場週轉率MA與當日週轉率判斷之綜合投資策略方面,各種決定持有期間之方法,在十種形成期下,都有顯著的異常報酬,而形成期越長,投資績效越佳。在長短期市場週轉率MA判斷之綜合投資策略方面,以短期市場週轉率MA5與長期MA比較決定持有期間之方法,大部分皆有顯著異常報酬,隨著形成期增加,投資績效亦增加。最後,利用夏普指標比較三種方法之投資績效,考慮投資人情緒下之動量投資策略,較固定期間之動量投資策略為佳,表示投資人情緒確實影響動量投資策略之投資績效。
    This article investigates momentum strategy in Taiwan stock markets. Different from traditional method of fixed holding period we use investor sentiment to choose holding period with momentum strategy. Therefore, using daily data from Taiwan Stock Exchange Corporation and listed on the R.O.C Over-The-Counter Securities Exchange from June. 30. 1997 to June. 30. 2006.
    Empirical results find that there has short-term momentum effect in trading strategy with fixed holding period. Specifically, we find better investment strategy is MA and TRO strategy method. The longer formulation period has the better performance. Additionally, another better investment strategy is between two MA strategy method when shortest MA compare with longer MA. Finally, we use sharpe ratio index to evaluate investment performance. The new holding period strategy method is better than traditional strategy method. This means that investor sentiment can effect investment performance of momentum strategy.
    Appears in Collections:[財務金融學系暨研究所] 學位論文

    Files in This Item:

    File SizeFormat
    0KbUnknown180View/Open

    All items in 機構典藏 are protected by copyright, with all rights reserved.


    DSpace Software Copyright © 2002-2004  MIT &  Hewlett-Packard  /   Enhanced by   NTU Library & TKU Library IR teams. Copyright ©   - Feedback