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    Please use this identifier to cite or link to this item: http://tkuir.lib.tku.edu.tw:8080/dspace/handle/987654321/31627

    Title: 考慮市場磨擦之價格與成交量交易策略
    Other Titles: Price and volume trading strategy with market frictions
    Authors: 戴婉如;Tai, Wan-ju
    Contributors: 淡江大學財務金融學系碩士班
    林蒼祥;Lin, William T.
    Keywords: 交易策略;日資料;市場磨擦;Trading Strategy;Daily Data;Market Frictions
    Date: 2006
    Issue Date: 2010-01-11 01:04:01 (UTC+8)
    Abstract: 本文以台灣50指數之50檔成份股日交易資料建構價格或成交量交易策略,並在考慮交易成本與交易限制下,參考Jegadeesh and Titman(1993)的方法,建構可行之交易策略,其所選取資料期間為1996年7月2日至2005年6月30日。
    This study analyzes portfolio strategies based on the approaches of Jegadeesh
    and Titman (1993); besides, we build price or volume trading strategies with market
    frictions and use daily data of TSEC Taiwan 50 Index Constituents from July,
    2nd,1996 to June, 30th, 2005.
    Our result finds that when we do not calculate trading costs, the contrarian
    strategies constituted on the basis of former returns of individual stock generate
    significant positive returns in the extreme short-term. And in the volume investment
    strategy, we find that our better performance is to buy stocks with relative
    higher-turnover in the past and sell that with relative lower-turnover in the past
    simultaneity, which expresses the positive relation between price and volume in
    Taiwan stock market. However, price or volume strategies perform the worst after
    trading costs. As the holding periods are shorter, the trading costs have more
    significant impact on returns, and would have higher trading costs when we short
    portfolios. In addition to trading costs, we consider that round-lot restriction in
    trading stocks and it would have small impact on the momentum strategies that
    constituted on the basis of former returns of individual stock. Besides, round-lot
    restriction in trading stocks would drop the return of volume investment strategies
    when we buy stocks with relative high-turnover in the past and sell that with relative
    low-turnover in the past simultaneity.
    Additionally, we test whether different investment constituents of portfolios
    could influence the performance of trading strategies. We find that the more stock
    investment constituents of portfolios have, the worse trading strategies performance
    are. As considering different capital in the rounding-lot restriction, the rounding error
    would not more significant when the holding periods increase.
    Appears in Collections:[財務金融學系暨研究所] 學位論文

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