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博碩士論文 etd-0727107-095939 詳細資訊
Title page for etd-0727107-095939
論文名稱
Title
台灣股市動能策略研究
The research of momentum trading strategies in Taiwan stock mocket
系所名稱
Department
畢業學年期
Year, semester
語文別
Language
學位類別
Degree
頁數
Number of pages
60
研究生
Author
指導教授
Advisor
召集委員
Convenor
口試委員
Advisory Committee
口試日期
Date of Exam
2007-07-06
繳交日期
Date of Submission
2007-07-27
關鍵字
Keywords
放空限制、動能交易策略、異常報酬
abnormal returns, short-selling shares, momentum trading strategies
統計
Statistics
本論文已被瀏覽 5736 次,被下載 35
The thesis/dissertation has been browsed 5736 times, has been downloaded 35 times.
中文摘要
本文以台灣股市為研究對象,研究自1995年1月∼2006年9月期間,買進過去股價報酬表現傑出的股票,並且放空在相同期間股價報酬表現不佳的股票,形成動能交易策略。本文的研究目的有二。第一、動能交易策略是否可以產生正的異常報酬?第二、考慮放空限制的情況下,動能交易策略是否可以產生正的異常報酬?本文實證結果顯示:在本文的研究條件限制下,台灣股市存在著動能現象,投資人透過簡單的動能策略來進行投資,應該可以獲得顯著的正報酬。其次,在考慮放空限制的情況下,動能投資組合依然存在正的異常報酬,但是動能報酬率低於不考慮放空限制的情況。
Abstract
This thesis studies the momentum trading strategies, in which investors buy stocks that performed well in the past and sell stocks that underperformed over the same peiord of time. We examine the momentum strategies from January of 1995 to September of 2006. This thesis has two purposes. First, do the momentum trading strategies generate positive abnormal returns ? Second, do the momentum trading strategies generate positive abnormal returns even after we consider the limits of short-selling stocks ? The results indicate that the momentum trading strategies generate significant positive returns. Furthermore, the momentum trading strategies still offer positive abnormal returns even after the limits of short-selling shares are taken into account, although the magnitude of positive abnormal returns decreases.
目次 Table of Contents
目 錄
第一章 緒 論 1
第一節 研究背景與動機 1
第二節 研究目的 2
第三節 論文架構 3
第二章 動能現象相關文獻探討 4
第一節 不同期間之動能現象 4
第二節 不同地區之動能現象 6
第三節 台灣股市動能相關文獻 8
第三章 研究方法 10
第一節 研究假說 12
第二節 資料來源與研究期間 13
第三節 研究設計與研究步驟 15
第四章 實證結果與分析 20
第一節 不考慮放空限制下之分析 22
第二節 考慮放空限制下之分析 26
第三節 不考慮與考慮放空限制下之比較 30
第四節 FAMA-FRENCH三因子迴歸分析 35
第五章 結 論 39
參 考 文 獻 41
附 錄 45
參考文獻 References
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