| dc.contributor.advisor | 周行一 | zh_TW |
| dc.contributor.advisor | Chow, Edward H. | en_US |
| dc.contributor.author (Authors) | 黃逸塵 | zh_TW |
| dc.contributor.author (Authors) | Huang, Yi-Chen | en_US |
| dc.creator (作者) | 黃逸塵 | zh_TW |
| dc.creator (作者) | Huang, Yi-Chen | en_US |
| dc.date (日期) | 2004 | en_US |
| dc.date.accessioned | 2009-09-14 | - |
| dc.date.available | 2009-09-14 | - |
| dc.date.issued (上傳時間) | 2009-09-14 | - |
| dc.identifier (Other Identifiers) | G0092357030 | en_US |
| dc.identifier.uri (URI) | https://nccur.lib.nccu.edu.tw/handle/140.119/30973 | - |
| dc.description (描述) | 碩士 | zh_TW |
| dc.description (描述) | 國立政治大學 | zh_TW |
| dc.description (描述) | 財務管理研究所 | zh_TW |
| dc.description (描述) | 92357030 | zh_TW |
| dc.description (描述) | 93 | zh_TW |
| dc.description.abstract (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. | zh_TW |
| dc.description.tableofcontents | INTRODUCTION 3 I. RELATED LITERATURE 5 A. MOMENTUM AND REVERSAL EFFECT IN STOCK MARKETS 5 B. BEHAVIORAL EXPLANATION FOR MOMENTUM AND REVERSAL EFFECT 6 C. OTHER OBSERVATIONS AND CHARACTERISTICS 7 D. MOMENTUM AND REVERSAL EFFECT OF INDICES AND FUTURES 9 II. DATA AND METHODOLOGY 11 Table 1. Nine Scenarios Under Three Futures Contracts and Three Signs. 13 III. ANALYSIS OF PROFITS 15 A. DOES MOMENTUM EFFECT CAN BE DETECTED? 15 Figure 1. Rate of return of momentum strategy in 2002 when return criterion is set to 0.4%. 15 Figure 2. Rate of return of momentum strategy in 2002 when return criterion is set to 0.4%. 16 Table 2. Rate of Return and its Standard Deviation of Momentum Strategy in 2002: Return Criterion (B) = 0.4% 18 Table 3. Numbers of Trading and Trading Days of Momentum Strategy in 2002: Return Criterion (B) = 0.4% 19 Figure 3. Rate of return of momentum strategy in 2002 when return criterion is 0.4% and lag the formation of positions for 3 minutes. 19 Table 4. Rate of Return and its Standard Deviation of Momentum Strategy in 2002: Return Criterion (B) = 0.4% and Lag for 3 minutes 20 Figure 4. Rate of return of momentum strategy in 2002 when return criterion is set to 0.3% and lag the formation of positions for 3 minutes. 21 Figure 5. Rate of return of momentum strategy in 2003 when return criterion is set to 0.5%. 23 Figure 6. Rate of return of momentum strategy in 2003 when return criterion is set to 1.0%. 23 Table 7. Rate of Return and its Standard Deviation of Momentum Strategy in 2003: Return Criterion (B) = 1.0% 25 Table 8. Rate of Return and its Standard Deviation of Momentum Strategy in 2004: Return Criterion (B) = 0.4% and Lag for 3 minutes 26 Figure 7. Rate of return of momentum strategy in 2004 when return criterion is set to 0.4% and lag the formation of positions for 3 minutes. 27 Figure 8. Rate of return of momentum strategy in 2002 under scenarios 1 to 6 when return criterion is 0.4% and lag the formation of positions for 3 minutes. 28 Figure 9. Rate of return of momentum strategy in 2002 under scenarios 7 and 8 when return criterion is 0.4% and lag the formation of positions for 3 minutes. 29 Table 10. Numbers of Trading and Trading Days of Momentum Strategy in 2002 under Scenarios 1 to 6: Return Criterion (B) = 0.4% and Lag for 3 minutes 29 Table 11. Numbers of Trading and Trading Days of Momentum Strategy in 2002 under Scenarios 7 and 8: Return Criterion (B) = 0.4% and Lag for 3 minutes 30 Table 12. Rate of Return and its Standard Deviation of Momentum Strategy in 2002 under Scenario 1 to 6: Return Criterion (B) = 0.4% and Lag for 3 minutes 32 Table 13. Rate of Return and its Standard Deviation of Momentum Strategy in 2002 under Scenario 7 and 8: Return Criterion (B) = 0.4% and Lag for 3 minutes 33 B. TEST FOR REVERSAL STRATEGY. 34 Figure 10. Rate of return of reversal strategy in 2002 when return criterion is 1.0% and lag the formation of positions for 3 minutes. 34 Figure 11. Rate of return of reversal strategy in 2002 when return criterion is 0.5%. 35 Table 14. Rate of Return and its Standard Deviation of Reversal Strategy in 2002: Return Criterion (B) = 1.0% and Lag for 3 minutes 36 Figure 12. Rate of return of reversal strategy in 2002 under scenarios 1 to 6 when return criterion is 0.8%. 37 Figure 13. Rate of return of reversal strategy in 2002 under scenarios 7 and 8 when return criterion is 0.8%. 37 Figure 14. Rate of return of reversal strategy in 2003 when return criterion is 1.0% and lag the formation of positions for 3 minutes. 38 Figure 15. Rate of return of reversal strategy in 2004 when return criterion is 0.4% and lag the formation of positions for 3 minutes. 39 Figure 16. Rate of return of reversal strategy in 2004 when return criterion is 0.8% and lag the formation of positions for 3 minutes. 39 Table 15. Rate of Return and its Standard Deviation of Reversal Strategy in 2004: Return Criterion (B) = 0.8% and Lag for 3 minutes 40 IV. CONCLUSION 41 REFERENCES 43 APPENDIX 46 Figure 17. Rate of return of momentum strategy in 2004 under scenarios 1 to 6 when return criterion is 0.4% and lag the formation of positions for 3 minutes. 46 Figure 18. Rate of return of momentum strategy in 2004 under scenarios 7 and 8 when return criterion is 0.4% and lag the formation of positions for 3 minutes. 46 | zh_TW |
| dc.language.iso | en_US | - |
| dc.source.uri (資料來源) | http://thesis.lib.nccu.edu.tw/record/#G0092357030 | en_US |
| dc.subject (關鍵詞) | momentum | en_US |
| dc.subject (關鍵詞) | reversal | en_US |
| dc.subject (關鍵詞) | trading | en_US |
| dc.subject (關鍵詞) | behavioral | en_US |
| dc.subject (關鍵詞) | futures | en_US |
| dc.title (題名) | Does momentum or reversal effect exist in Taiwan`s futures market? | zh_TW |
| dc.type (資料類型) | thesis | en |
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