The study of information efficiency and momentum strategies of foreign institutional investor invest
朱葛君、陳美玲
E-mail: [email protected]
ABSTRACT
We are mainly exploring the transaction information of electronic industry in Taiwan and Korea stock market. In the study, we are going to discuss whether there is information efficiency or not. Besides, we used the factors of cumulative return, cumulative revenue and cumulative market capitalization to point out the best investment strategies for foreign investment in Taiwan and Korea electronic stock market. And further, we also utilize return, revenue and market capitalization to explore the suitable holding period for foreign investment in Taiwan and Korea electronic stock market. The results showed that there is a long-term relationship of equilibrium between the shareholdings of foreign investment at electronic and electronic index through co-integration test. It indicated that both of electronic stock markets from Taiwan and Korea belonged to inefficiency markets. For a concealer of foreign investment, he/she could get a remuneration based on the transaction information in market. As above mentioned, the electronic companies (top 3) which got foreign investment in Taiwan required a suggestion of contrarian strategy except Honhai. Half investors who invested in Korea (the top 3 electronic companies) supported the foreign investment to adopt momentum strategy. Finally, we found that the suitable holding period of top three electronic companies in Taiwan and Korea, it just had three days of suitable holding period in Taiwan, and had three months of suitable holding period in Korea.
Keywords : Information Efficiency、Momentum Strategy、Contrarian Strategy Table of Contents
中文摘要．．．．．．．．．．．．．．．．．．．．．．．iii 英文摘要．．．．．．．．．．．．．．．．．．．．．
．．iv 致謝詞．．．．．．．．．．．．．．．．．．．．．．．． v 內容目錄 ．．．．．．．．．．．．．．．．．
．．．． vi 表目錄 ．．．．．．．．．．．．．．．．．．．．． viii 圖目錄 ．．．．．．．．．．．．．．．
．．．．．． ix 第一章 緒論．．．．．．．．．．．．．．．．．．．． 1 第一節 研究背景與動機 ．．．．．
．．．．．．． 1 第二節 研究目的．．．．．．．．．．．．．．．． 5 第三節 研究架構．．．．．．．．．．
．．．．．． 6 註 釋．．．．．．．．．．．．．．．．．．．．．．． 8 第二章 文獻探討．．．．．．．．．．．
．．．．．．． 9 第一節 資訊效率性 ．．．．．．．．．．．．．． 9 第二節 動能、反向投資策略相關文獻．．
．．．．．．．14 第三節 營收成長率、市值成長率相關文獻．．． 17 第三章 研究方法 ．．．．．．．．．．．
．．．．．． 20 第一節 研究對象、樣本來源與研究期間．．．．． 20 第二節 單根撿定．．．．．．．．．．．
．．．． 21 第三節 共整合檢定．．．．．．．．．．．．．． 23 第四節 投資策略之績效衡量．．．．．．．．
．．． 25 第五節 ARCH效果檢定．．．．．．．．．．．． 26 第四章 實證結果分析．．．．．．．．．．．．
．．． 27 第一節 敘述性統計．．．．．．．．．．．．．． 27 第二節 ARCH檢定．．．．．．．．．．．．．
． 31 第三節 單根檢定．．．．．．．．．．．．．．．．．． 33 第四節 共整合檢定結果．．．．．．．．．．
．．．．． 36 第五節 投資策略之檢驗．．．．．．．．．．．．．．． 41 第六節 最適持有期間之結果分析．．
．．．．．．．．． 44 第五章 結論與建議．．．．．．．．．．．．．．．． 47 第一節 結論．．．．．．．．
．．．．．．．．． 47 第二節 建議．．．．．．．．．．．．．．．．． 48 參考文獻 ．．．．．．．．．．．．
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