政大機構典藏-National Chengchi University Institutional Repository(NCCUR):Item 140.119/30973
English  |  正體中文  |  简体中文  |  Post-Print筆數 : 27 |  全文笔数/总笔数 : 109927/140876 (78%)
造访人次 : 45969138      在线人数 : 577
RC Version 6.0 © Powered By DSPACE, MIT. Enhanced by NTU Library IR team.
搜寻范围 查询小技巧：
  • 您可在西文检索词汇前后加上"双引号"，以获取较精准的检索结果
  • 若欲以作者姓名搜寻，建议至进阶搜寻限定作者字段，可获得较完整数据
    •  进阶搜寻
    政大機構典藏 > 商學院 > 財務管理學系 > 學位論文 >  Item 140.119/30973


    请使用永久网址来引用或连结此文件: https://nccur.lib.nccu.edu.tw/handle/140.119/30973


    题名: Does momentum or reversal effect exist in Taiwan`s futures market?
    作者: 黃逸塵
    Huang, Yi-Chen
    贡献者: 周行一
    Chow, Edward H.
    黃逸塵
    Huang, Yi-Chen
    关键词: momentum
    reversal
    trading
    behavioral
    futures
    日期: 2004
    上传时间: 2009-09-14
    摘要: Our result suggests a momentum effect in the index futures market that we find an abcdrmal return in some specific situations after deducting the transaction costs and tax in the simulation. All positive profits concentrate on short-term observing periods and short-term holding periods in momentum strategy. There is an obvious tendency that the profits slump through the increase of observing periods and the increase of holding periods. And the standard deviation of the profits goes larger as the holding periods extend. The momentum effect would still show in a shorter time period but a lower magnitude when we set the return criterion smaller. This phenomenon concurs with our expectation and implies that the behavioral theories can explain some parts of the momentum effect. In some cases the reversal profits are stronger in long-term observing periods but the standard deviation of it becomes very large and makes it difficult to implement. Other cases the profits are significant in short-term observing periods by intermediate or long-term holdings and long-term observing becomes disappointed. It needs more tests for a larger sample size to capture the characteristics of reversal phenomenon and acquire the parameters that can seize the reversal effect.
    參考文獻: Amihud, Yakov, and Haim Mendelson, 1986, Asset pricing and the bid-ask spread, Journal of Financial Economics 17, 223-249.
    Asness, Clifford S., 1995, The power of past stock returns to explain future stock returns, Working paper, Goldman Sachs Asset Management.
    Asness, Clifford S., John M. Liew, and Ross L. Stevens, 1997, Parallels between the cross-sectional predictability of stock and country returns, Journal of Portfolio Management 23, 79-87.
    Barberis, Nicholas, Ming Huang, and Tanos Santos, 2001, Prospect theory and asset prices, Quarterly Journal of Economics 116, 1-53.
    Barberis, Nicholas, Andrei Shleifer, and Robert Vishny, 1998, A model of investor sentiment, Journal of Financial Economics 49, 307-343.
    Bennett, James A., and Richard W. Sias, 2001, Can money flows predict stock returns? Financial Analysts Journal 57, 64-77.
    Campbell, John Y., and John H. Cochrane, 1999, By force of habit: A consumption-based explanation of aggregate stock market behavior, Journal of Political Economy 107, 205-251.
    Chan, Louis K., Narasimhan Jedadeesh, and Josef Lakonishok, 1996, Momentum strategies, Journal of Finance 51, 1681-1713.
    Chordia, Tarun, and Lakshmanan Shivakimar, 2002, Momentum, business cycle and time-varying expected return, Journal of Finance 57, 985-1019.
    Chordia, Tarun, and Bhaskaran Swaminathan, 2000, Trading volume and cross-autocorrelations in stock returns, Journal of Finance 55, 913-935.
    Connolly, Robert, and Chris Stivers, 2003, Momentum and reversals in equity-index returns during periods of abcdrmal turnover and return dispersion, Journal of Finance 58, 1521-1555.
    Conrad, Jennifer S., Allaudeen Hameed, and Cathy Niden, 1994, Volume and autocovariances in short-horizon individual security returns, Journal of Finance 49, 1305-1330.
    Conrad, Jennifer S., and Gautam Kaul, 1998, An anatomy of trading strategies, Review of Financial Studies 11, 489-519.
    Cooper, Michael J., Roberto C. Gutierrez Jr., and Allaudeen Hameed, 2004, Market States and Momentum, Journal of Finance 59, 1345-1365.
    Daniel, Kent, David Hirshleifer, and Avanidhar Subrahmanyam, 1998, Investor psychology and investor security market under-and overreactions, Journal of Finance 53, 1839-1886.
    Datar, Vinay, Narayan Naik, and Robert Radcliffe, 1998, Liquidity and asset returns: An alternative test, Journal of Financial Markets 1, 203-220.
    DeBondt, Werner F.M., and Richard Thaler, 1985, Does the stock market overreact? Journal of Finance 40, 793-808.
    Ellis, Mark, and Dylan C. Thomas, 2004, Momentum and the FTSE 350, Journal of Asset Management 5, 25-36.
    Fama, Eugene F., and Kenneth R. French, 1996, Multifactor explanations of asset pricing anomalies, Journal of Finance 51, 55-84.
    George, Thomas J., and Chuan-Yang Hwang, 2004, The 52-week high and momentum investing, Journal of Finance 59, 2145-2176.
    Gervais, Simon, and Terrance Odean, 2001, Learning to be overconfident, Review of Financial Studies 14, 1-27.
    Grinblatt, Mark, and Tobias J. Moskowitz, 1999, Do industries explain momentum? Journal of Finance 54, 1249-1290.
    Grinblatt, Mark, and Tobias J. Moskowitz, 2003, Predicting stock market price movement from past returns: the role of consistency and tax-loss selling, Journal of Financial Economics 71, 541-579.
    Grundy, Bruce D., and J. Spencer Martin, 1998, Understanding the nature of the risks and the source of the rewards to momentum investing, Working paper, the Wharton School.
    Hong, Hong, and Jeremy Stein, 1999, A unified theory of underreaction, momentum trading and overreaction in asset markets, Journal of Finance 54, 2143-2184.
    Jegadeesh, Narasimhan, 1990, Evidence of predictable behavior of security returns, Journal of Finance 45, 881-898.
    Jegadeesh, Narasimhan, and Sheridan Titman, 1993, Returns to buying winners and selling losers: Implications for stock market efficiency, Journal of Finance 48, 65-91.
    Jegadeesh, Narasimhan, and Sheridan Titman, 2001, Profitability of momentum strategies: An evaluation of alternative explanations, Journal of Finance 56, 699-720.
    Johnson, Timothy C., 2002, Rational momentum effects, Journal of Finance 57, 585-608.
    Korajczyk, Robert A., and Ronnie Sadka, 2004, Are momentum profits robust to trading costs? Journal of Finance 59, 1039-1082.
    Lee, Charles M. C., and Bhaskaran Swaminathan, 2000, Price momentum and trading volume, Journal of Finance 55, 2017-2069.
    Lehmann, Bruce, 1990, Fads, martingales, and market efficiency, Quarterly Journal of Economics 105, 1-28.
    Lewellen, Jonathan, 2002, Momentum and autocorrelation in stock returns, The Review of Financial Studies 15, 533-563.
    Nofsinger, John R., and Richard W. Sias, 1999, Herding and Feedback Trading by Institutional and Individual Investors, Journal of Finance 54, 2263-2295.
    Olszewski, E. A., 1998, Assessing inefficiency in the futures markets, The Journal of Futures Markets 18, 671-704.
    Olszewski, Edward, 2001, A strategy for trading the S&P 500 futures market, Journal of Economics and Finance 25, 62-79.
    Richards, Anthony J., 1997, Winner-loser reversals in national stock market indices: can they be explained?, Journal of Finance 52, 2129-2144.
    Rouwenhorst, K. Geert, 1998, International momentum strategies, Journal of Finance 53, 267-284.
    Schwager, J. D. (1989): Market Wizards: Interviews with Top Traders. New York: New York Institute of Finance.
    Scott, James, Margaret Stumpp, and Peter Xu, 2003, News, not trading volume, builds momentum, Financial Analysts Journal 59, 45-54.
    Simon, David P., and Roy A Wiggins III, 2001, S&P futures returns and contrary sentiment indicators, The Journal of Futures Markets 21, 447-462.
    Slezak, Steve L., 2003, On the impossibility of weak-form efficient markets, Journal of financial and quantitative analysis 38, 523-554.
    描述: 碩士
    國立政治大學
    財務管理研究所
    92357030
    93
    資料來源: http://thesis.lib.nccu.edu.tw/record/#G0092357030
    数据类型: thesis
    显示于类别:[財務管理學系] 學位論文

    文件中的档案:

    档案 大小格式浏览次数
    index.html0KbHTML2451检视/开启


    在政大典藏中所有的数据项都受到原著作权保护.


    社群 sharing

    著作權政策宣告 Copyright Announcement
    1.本網站之數位內容為國立政治大學所收錄之機構典藏，無償提供學術研究與公眾教育等公益性使用，惟仍請適度，合理使用本網站之內容，以尊重著作權人之權益。商業上之利用，則請先取得著作權人之授權。
    The digital content of this website is part of National Chengchi University Institutional Repository. It provides free access to academic research and public education for non-commercial use. Please utilize it in a proper and reasonable manner and respect the rights of copyright owners. For commercial use, please obtain authorization from the copyright owner in advance.

    2.本網站之製作，已盡力防止侵害著作權人之權益，如仍發現本網站之數位內容有侵害著作權人權益情事者，請權利人通知本網站維護人員(nccur@nccu.edu.tw)，維護人員將立即採取移除該數位著作等補救措施。
    NCCU Institutional Repository is made to protect the interests of copyright owners. If you believe that any material on the website infringes copyright, please contact our staff(nccur@nccu.edu.tw). We will remove the work from the repository and investigate your claim.
    DSpace Software Copyright © 2002-2004  MIT &  Hewlett-Packard  /   Enhanced by   NTU Library IR team Copyright ©   - 回馈