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    Please use this identifier to cite or link to this item: http://tkuir.lib.tku.edu.tw:8080/dspace/handle/987654321/31606

    Title: 臺灣股票市場日內群聚和動能策略分析
    Other Titles: The analysis of intraday herding and momentum strategies in Taiwan stock market
    Authors: 張振展;Chang, Chen-chan
    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: 日內資料;群聚行為;動能策略;Intraday data;herding behavior;intraday momentum strategies
    Date: 2009
    Issue Date: 2010-01-11 01:02:19 (UTC+8)
    Abstract: 本研究之目的為檢視台灣股票市場中投資人之日內群聚現象之特性,並分析群聚對未來股票報酬影響。投資策略方面,觀察加入投資人群聚行為之群聚動能策略對未來股價報酬是否具有預測性。本研究利用逐筆委託檔與成交檔資料,採用Patterson and Sharma(2005)所提出的Runs test檢定日內群聚現象;交易策略方面採用Jegadeesh and Titman(1993)和Kang(2005)提出的日內動能策略建構方式,並將市場分為向上趨勢和向下趨勢,探討投資人在不同市場情況下群聚特性為何。
    The purpose of the research is to observe the investors intraday herding behaviors in Taiwan stock market and to analyze the influence on stock price in the future. On the aspect of investment strategies, we observe that if it has been anticipation in stock price by considering the herding factor in the future. We employ the intraday trade data and the measure of herding by Patterson and Sharma(2005) ─ Runs test, and on the aspect of investment strategies, we follow the intraday momentum strategies of Jegadeesh and Titman(1993) and Kang(2005), and to find the difference of the herding behavior in the different market.
    In realities of investment strategies, we employ the strike order which investor can be possess easily. We employ the method of Finucane(2000) to determine each strike data which is belonging to buy-initiated or sell-initiated. After measuring the herding value, we employ the herding value into the price momentum strategies to verify the executable possible in real.
    In general situation, the result shows that herding isn’t significance in intraday , but it is significance in the bull market . In the aspect of investment strategies, it is momentum continuous in the holding period of 30, 60 and 120 minutes in price momentum strategies and herding-momentum strategies in any market situation. The difference portfolio return between the price momentum strategies and the herding-momentum strategies isn’t significance. In real investment strategies, the information is the same of order data and strike data, and it shows that investors can observe the information like order data showing by employing the strike data.
    Appears in Collections:[財務金融學系暨研究所] 學位論文

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