The Study of Information Efficiency and Momentum Strategies about Instituitional Investors Transaction Information in ..
呂立偉、陳美玲
E-mail: 9701115@mail.dyu.edu.tw
ABSTRACT
This paper divides two parts. First, we use co-integration to examines weather the transaction information about institutional investors in Taiwan stock market can be used to forecast stock price. The daily data of Taiwan stocks holding by institutional inves-tors and stock price is from September 2002 to August 2007. Second, some arbitrage strategies are constructed to test the return in short, intermediate and long horizons. Furthermore, we try to find the cause of momentum profit by ANOVA test. The main empirical findings are summarized as follow. We find that only transac-tion information about foreign investors can be use to forecast stock price. In short-term, the investors in Taiwan stock market should adopt contrarian strategy, and momentum strategies should be adopted in long-term. Turnover rate is a factor of reversal. For winner stocks, contrarian strategies should be used in short-term and momentum strate-gies in long-term. However, for loser stocks, momentum strategies can catch profit all the time.
Whatever the turnover is hign or low, contrarian strategies shold be used in short-term and momentum strategies in long-term.
Finally, we find that the profit is re-sult from autocovarience.
Keywords : institutional investor ; information efficiency ; momentum strategy Table of Contents
第一章 緒論．．．．．．．．．．．．．．．．． 1 第一節 研究背景與動機．．．．．．．．．．．． 1 第二節 研究目的．．．．．．．．．．．．．．． 7 第三節 研究架構．．．．．．．．．．．．．．． 8 註 釋．．．
．．．．．．．．．．．．．．．．．． 10 第二章 文獻探討．．．．．．．．．．．．．．． 11 第一節 資訊效 率性相關文獻．．．．．．．．．． 11 第二節 資訊效率性檢定相關文獻．．．．．．．． 16 第三節 反向投資策 略相關文獻．．．．．．．．． 20 第四節 動能投資策略相關文獻．．．．．．．．． 27 註 釋．．．．．．．．．
．．．．．．．．．．．． 33 第三章 研究方法．．．．．．．．．．．．．．． 34 第一節 研究對象、樣本來源 與研究期間．．．．． 34 第二節 單根撿定．．．．．．．．．．．．．．． 37 第三節 共整合檢定．．．．．．
．．．．．．．． 39 第四節 動能投資策略之績效衡量．．．．．．．． 40 第五節 動能利潤來源檢定．．．．．．．
．．．． 45 第六節 研究步驟．．．．．．．．．．．．．．． 47 第四章 實證結果分析．．．．．．．．．．．．．
49 第一節 單根檢定與共整合檢定結果．．．．．．． 49 第二節 單因子動能效果檢驗．．．．．．．．．． 55 第 三節 二因子動能效果檢驗．．．．．．．．．． 61 第四節 動能生命週期理論之結果．．．．．．．． 70 第五節 動能利潤來源檢定．．．．．．．．．．． 72 第五章 結論與建議．．．．．．．．．．．．．． 76 第一節 結論．．．．．．．．．．．．．．．．． 76 第二節 建議．．．．．．．．．．．．．．．．． 77 參考文獻 ．．
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