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題名:外資於全球金融危機事件期間之交易策略與投資績效
書刊名:財金論文叢刊
作者:李顯儀 引用關係陳信宏 引用關係何清隆
作者(外文):Lee, Hsien-yiChen, Hsin-hungHo, Ching-long
出版日期:2010
卷期:13
頁次:頁25-44
主題關鍵詞:外資金融危機事件動能策略投資績效Foreign investorsFinancial crisis eventsMomentum trading strategiesInvestment performance
原始連結:連回原系統網址new window
相關次數:
  • 被引用次數被引用次數:期刊(2) 博士論文(0) 專書(0) 專書論文(0)
  • 排除自我引用排除自我引用:1
  • 共同引用共同引用:28
  • 點閱點閱:32
本文主要探討2007年與2008年全球金融危機事件發生前後,外資在台灣50指數成分股之交易策略與投資績效。本文研究結果顯示,在金融危機發生前,外資採用動能策略,亦即,外資買進前期贏家投資組合股票,賣出前期輸家投資組合股票,同時,外資亦採用反向策略,即外資買進前期輸家投資組合股票。在金融危機發生後,外資依然運用動能策略與反向操作策略。此外,就投資績效表現而言,外資運用動能策略之績效表現優異,而反向策略因持有期間太短,其績效表現不佳。
The objective of this paper is to examine the trading strategies and investment performance of foreign investors in the Taiwan 50 Index Constituents of Taiwan Stock Exchange (TWSE) before and after the global financial crisis events in 2007 and 2008. The results in this paper indicate, before and after financial crisis foreign investors employ momentum trading strategies by buying previous winner stocks and selling previous loser stocks, and also, employ contrarian trading strategies by buying previous loser stocks. The results show that the foreign investors still use momentum trading and contrarian strategies after the global financial crisis. However, the performances of momentum strategies significantly outperform those performances of contrarian strategies, because the holding period is too short by contrarian strategies.
期刊論文
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