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    Title: 日內價格行為之實證研究
    Other Titles: An empirical study of intraday price behaviors
    Authors: 陳佳屏;Chen, Chia-ping
    Contributors: 淡江大學財務金融學系碩士班
    林蒼祥;Lin, William T.
    Keywords: 日內資料;動能策略;反向操作;週轉率;Intraday data;Momentum Strategy;Contrarian Strategy;turnover
    Date: 2009
    Issue Date: 2010-01-11 01:12:01 (UTC+8)
    Abstract: 本研究主要探討台灣股票市場日內動能交易策略和反向操作策略的成因,藉此探討市場微結構的動能來源,並探討市場微結構的動能成因是否與長期動能有所差異,再以價格和週轉率所建構之二維交易策略,探討週轉率是否會影響動能交易策略的績效,最後,採用Jarrow, Teo, Tse and Warachka(2005)的統計套利方法,檢驗台灣股票市場是否存在統計套利空間。
    本研究採用台灣證券交易所的日內交易資料,實證結果發現台灣股票市場存在日內價格反轉現象,亦即對新訊息會有過度反應的現象。以價格和週轉率所建構之二維交易策略,在價格動能效果下,買進低週轉率贏家和賣出低週轉率輸家所所帶來的異常報酬較高,而在週轉率效果下,買進低週轉率贏家和賣出高週轉率贏家所帶來的異常報酬較高;台灣股票市場存在統計套利空間,形成期30分鐘之交易策略,採用反向操作策略可獲得正的超額報酬;而形成期120分鐘之交易策略,較適合進行價格動能策略。
    In this study, we analyses the intraday momentum strategy and contrarian strategy in Taiwan stock market, and whether the market microstructure different from long term momentum strategy. Then, we constitute the strategy on the basis of former returns of individual stock and former turnover of individual stock and test whether exist price anomalies in the Taiwan stock market. Finally, we use Jarrow, Teo, Tse and Warachka(2005)to test whether the Taiwan stock market exist price anomalies when using the trading strategies based on price momentum.
    We use intraday data in Taiwan Stock Exchange. The empirical results suggest Taiwan stock market exist intraday price reversal, that is, overreaction to new information. Then, the strategy on the basis of former returns of individual stock and former turnover of individual stock, we find high return and low turnover investment strategy has good performance. Finally, we can get the risk-less excess return using the 30 minutes trading strategies based on contrarian strategy and using the 120 minutes trading strategies based on momentum strategy.
    Appears in Collections:[財務金融學系暨研究所] 學位論文

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