Loading...
|
Please use this identifier to cite or link to this item:
https://nccur.lib.nccu.edu.tw/handle/140.119/54849
|
| Title: | 動能策略在日本股市的實證研究
Empirical studies of momentum strategies in the Japanese stock market |
| Authors: | 李柏儒
Lee, Bo Ju |
| Contributors: | 岳夢蘭
Yueh, Meng Lan
李柏儒
Lee, Bo Ju |
| Keywords: | 動能操作策略
價格動能策略
52週高價動能策略
移動平均動能策略
反應過度
反應不足
momentum strategy
price momentum
the 52-week high
the moving average ratio
overreaction
underreaction |
| Date: | 2011 |
| Issue Date: | 2012-10-30 13:59:37 (UTC+8) |
| Abstract: | 在選定樣本期間1975-2009年下，動能操作策略在日本股市無法獲得顯著正報酬。在三個子樣本期間：1975年-1989年、1990年-1999年以及2000年-2009年下也獲得相同結論，顯示日本股市不存在動能效應。
動能操作策略中的贏家、輸家排序，與公司的財務特性有關。整體而言，輸家股票在平均成交量、平均市值上皆小於贏家股票。另外，動能操作策略在日本股市的月報酬並沒有明顯季節性變化。
本論文比較文獻上提出的三種不同動能操作策略：歷史報酬率法、52週高點法與移動平均比率法在日本股市的績效表現。三者在日本股市皆無法獲得顯著報酬。最後，進行動能操作策略的形成期間分析。在持有期間第11個月至第18個月內，日本股市出現價格反轉情形。根據形成期間歷史報酬率高低，採用前17個月至前12個月的六個月累積歷史報酬率作為選股依據，採取反向操作策略，發現日本股市存在價格反轉現象。
Momentum strategies do not yield significant positive returns in the Japanese stock market in the sample period (1975 to 2009). In the three sub-periods, 1975 to 1989, 1990 to 1999 and 2000 to 2009, it demonstrates the same conclusion. Momentum effect does not exist in the Japanese stock market.
This study shows that the ranking order of winners and losers is associated with financial characteristics of firm. Overall, average trading volume and average market value of losers stocks are both smaller than those of winners stocks. In addition, the monthly return of momentum strategies has no significant seasonal pattern in the Japanese stock market.
In this study, we compare the performance of three different momentum strategies: JT’s individual stock momentum, the 52-week high and the moving average ratio in the Japanese stock market. All of three strategies in the Japanese stock market cannot receive significant profits. Final section tests the periodical analysis of momentum strategies. When extending the holding period, we can find that Japanese stock market experiences price reversal from the 11th to 18th months.
According to the historical return in formation period, we choose six-month accumulated historical return (17 to 12 months prior to portfolio formation) as the stock selection principle. Under this contrarian strategy, we find that the Japanese stock market has phenomenon of price reversal. |
| Reference: | 1. Arena, M., K.S. Haggard, and X. Yan, 2008. “Price momentum and idiosyncratic volatility”, The Financial Review 43, 159–190.
2. Barberis, Nicholas, Andrei Shleifer, and Robert Vishny, 1998. “A model of investor sentiment”, Journal of Financial Economics 49, 307–343.
3. Blitz, D., Joop Huij, and Martin Martens, 2011. “Residual momentum”, Journal of Empirical Finance 18, 506-521.
4. Bremer, Marc and Takato Hiraki, 1999. “Volume and individual security returns on the Tokyo Stock Exchange”, Pacific-Basin Finance Journal 7, 351–370.
5. Carhart, M.M., 1997. “On Persistence in Mutual Fund Performance”, Journal of Finance 52, 57-82.
6. Chang, Yuk Ying, Robert Faff, and Chuan-Yang Hwang, 2010. “Liquidity and stock returns in Japan: New evidence”, Pacific-Basin Finance Journal 18, 90–115.
7. Chang, Rosita P., D.W. McLeavey, and S. Ghon Rhee, 1995. “Short-term abnormal returns of the contrarian strategy in the Japanese stock markets”, Journal of Business Finance & Accounting 22, 1035–1048.
8. Chou, Pin-Huang, K.C. John Wei, and Huimin Chung, 2007. “Sources of contrarian profits in the Japanese stock market”, Journal of Empirical Finance 14, 261–286.
9. Chui, Andy C.W., Sheridan Titman, and K.C. John Wei, 2010. “Individualism momentum around the world”, Journal of Finance 65, 361–392.
10. Chui, Andy C.W., Sheridan Titman, and K.C. John Wei, 2000. “Momentum, Legal Systems and Ownership Structure: An analysis of Asian stock markets”, Working paper.
11. Daniel, Kent, David Hirshleifer, and Avanidhar Subrahmanyam, 1998. “Investors, psychology and security market under- and overreactions”, Journal of Finance 53, 1839–1885.
12. De Bondt, Werner, and Richard Thaler, 1985. “Does the Stock Market Overact?”, Journal of Finance 40, 793-805.
13. Fama, Eugene F., 1970. “Efficient Capital Markets: A Review of Theory and Empirical Work”, Journal of Finance 25, 383-417.
14. Fama, E.F. and J. MacBeth, 1973. “Risk, return and equilibrium: Empirical tests”, Journal of Political Economy 81, 607-636.
15. George, T.J. and C.-Y. Huang, 2004. “The 52-week high and momentum investing”, Journal of Finance 59, 2145-2175.
16. Grinblatt, Mark, and Bing Han, 2002. “The disposition effect and momentum”, Working paper, UCLA.
17. Gunaratne, P.S.M. and Y. Yonesawa, 1997. “Return reversals in the Tokyo Stock Exchange: A test of stock market overreaction”, Japan and the World Economy 9, 363–384.
18. Hameed, Allaudeen and Yuanto Kusnadi, 2002. “Momentum Strategies: Evidence from Pacific Basin stock markets”, Journal of Financial Research 25, 383–397.
19. Hong, Dong and Charles Lee, 2003. “Earnings momentum in international markets”, Working paper, Cornell University.
20. Hong, Harrison, and Jeremy C. Stein, 1999. “A unified theory of underreaction, momentum trading and overreaction in asset markets”, Journal of Finance 54, 2143–2184.
21. Iihara, Yoshio, Hideaki Kiyoshi Kato, and Toshifumi Tokunaga, 2004. “The winner–loser effect in Japanese stock returns”, Japan and the World Economy 16, 471–485.
22. Jegadeesh, N., 1990. “Evidence of predictable behavior of security returns”, Journal of Finance 45, 881-898.
23. Jegadeesh, N. and S. Titman, 1991. “Short horizon return reversals and the bid-ask spread ”, Working paper, University of California at Los Angeles.
24. Jegadeesh, N. and S. Titman, 1993. “Returns to buying winners and selling losers: Implications for stock market efficiency”, Journal of Finance 48, 65-91.
25. Jegadeesh, N. and S. Titman, 2001. “Profitability of Momentum Strategies: An Evaluation of Alternative Explanations”, Journal of Finance 52, 699-720.
26. Kahneman, Daniel and Amos Tvesky, 1973. “Availability: A heuristic for judging frequency and probability”, Cognitive Psychology, 5, 207-232
27. Kahneman, Daniel and Amos Tvesky, 1979. “Prospect Theory: An Analysis of Decision under Risk”, Econometrica, XLVII, 263-291
28. Kahneman, Daniel, Paul Slovic, and Amos Tversky, 1982, Judgment under Uncertainty: Heuristics and Biases (Cambridge University Press, New York).
29. Lehmann, B., 1990. “Fads, martingales and market efficiency,” Quarterly Journal of Economics 105, 1-28.
30. Lee, Charles M.C. and Bhaskaran Swaminathan, 2000. “Price momentum and trading volume”, Journal of Finance 55, 2017-2069.
31. Liu, Chunlin and Yul Lee, 2001. “Does the Momentum Strategy Work Universally? Evidence from the Japanese Stock Market”, Asia-Pacific Financial Markets 8, 321-339.
32. Liu, Ming , Qianqiu Liu, and Tongshu Ma, 2011 “The 52-week high momentum strategy in international stock markets”, Journal of International Money and Finance 30, 180-204.
33. Levy, Robert, 1967. “Relative strength as a criterion for investment selection”, Journal of Finance 22, 595-610.
34. McInish, Thomas H., David K. Ding, Chong Soo Pyun, and Udomsak Wongchoti, 2000. “Short-horizon contrarian and momentum strategies in Asian markets: An integrated analysis”, International Review of Financial Analysis 17, 312–329.
35. Moskowitz, T. J., and Mark Grinblatt, 1999. “Do industries explain momentum? ”, Journal of Finance 54, 1249-1290.
36. Naranjo, A., and Burt Porter, 2007. “Including emerging markets in international momentum investment strategies”, Emerging Maerkets Review, 147-166.
37. Novy-Marx, Robert, 2012 “Is momentum really a momentum”, Journal of Financial Economics 103, 429-453.
38. Park, S.-C., 2010. “The moving average ratio and momentum”, The Financial Review 45, 451-447.
39. Rouwenhorst, K.G., 1998. “International Momentum Strategies”, Journal of Finance 53, 267-284.
40. Roll, Richard, 1983. “Vas ist Das?”, Journal of Portfolio Management, 18-28.
41. Swinkels, Laurens, 2002. “International industry momentum”, Journal of Asset Management, 124-141.
42. Zhang, X.F., 2006. “Information uncertainty and stock returns”, Journal of Finance 61, 105-136. |
| Description: | 碩士
國立政治大學
財務管理研究所
99357025
100 |
| Source URI: | http://thesis.lib.nccu.edu.tw/record/#G0099357025 |
| Data Type: | thesis |
| Appears in Collections: | [財務管理學系] 學位論文
|
Files in This Item:
| File |
Size | Format | |
|---|
| 702501.pdf | 1193Kb | Adobe PDF2 | 2048 | View/Open |
|
All items in 政大典藏 are protected by copyright, with all rights reserved.
|
