跳到主要內容

簡易檢索 / 詳目顯示

回結果列表
研究生： 黃逸塵
Huang, Yi-Chen
論文名稱： Does momentum or reversal effect exist in Taiwan's futures market?
指導教授： 周行一
Chow, Edward H.
學位類別： 碩士
Master
系所名稱： 商學院 - 財務管理學系
Department of Finance
論文出版年： 2006
畢業學年度： 93
語文別： 英文
外文關鍵詞： reversal
相關次數： 點閱：79  下載：0 
分享至:
查詢本校圖書館目錄 查詢臺灣博碩士論文知識加值系統 勘誤回報

    • 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.

    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

    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.

    無法下載圖示 此全文未授權公開
    QR CODE
    :::