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題名:反向投資策略、動能效應與均值回歸操作績效之比較:以臺灣電競產業為例
書刊名:觀光與休閒管理期刊
作者:練有為鄭素珍 引用關係
作者(外文):Lan, Yu-weiCheng, Suh-jan
出版日期:2016
卷期:4:2
頁次:頁100-112
主題關鍵詞:均值回歸程式交易Granger因果檢定電競產業動能效應反向投資策略Mean reversionProgram tradingGranger casualty testE-sports industryMomentum effectContrariant strategy
原始連結:連回原系統網址new window
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  • 被引用次數被引用次數:期刊(1) 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:0
  • 點閱點閱:18
本研究首先根據Kestner (2003)之反向操作策略,利用2010 年6 月24 日至2016年8 月20 日的1524 個台灣主要電競遊戲個股的日交易資料,以程式交易模擬100-Day股價背離後回歸平均値之操作績效,惟卻無法獲得正報酬,其次,根據Kestner (2003)新思路投資組合中獲利最佳之Kestner 移動平均系統之交易策略,採用當日收盤與20和80 天移動平均動能突破之特性,實證結果顯示: 在2013 年11 月1 日至2016 年8月20 日的34 個月期間,獲得36.1%的正報酬。本研究進一步利用Granger 因果關係,選出領頭羊的個股華碩(2357),運用二家對應公司股價背離後回歸平均値的程式交易,淨利增幅為20.38%,優於大盤之7.7%,說明此程式是可以獲利的,換言之,台灣電競遊戲的市場不符合效率市場條件,此一技術分析參數背後所代表的操作策略是有利可圖的,投資人可以運用領頭羊公司與對應公司價差之回歸平均值的特性,在金融市場增進操作績效。
Adopting the contrariant strategy of Kestner (2003)-difference from 100-Day moving average, we cannot use stock price deviation to make abnormal returns from the e-sports industry in Taiwan, for the period 2011.11.30~2016.7.25. And following Kestner's moving average system, prices rally above the 20-day and 80-day moving average of highs, the results show that the strategy of momentum effect is profitable for the period 2013.11.1~2016.8.20. The net profit grows by 36.1%. Furthermore, this study adopts Granger causality and program trading to test the stock price mean reversion of ASUSTEK COMPUTER INC. among the e-sports companies. The net profit is 20.38% during this period. The results show that the technical analysis tested in this study can lead to trading profits and investors can increase their trading profits based on the mean reversion characteristic of company price differences.
期刊論文
1.Kim, Woochan、Wei, Shang-Jin(2002)。Foreign portfolio investors before and during a crisis。Journal of International Economics,56(1),77-96。  new window
2.Cutler, David M.、Poterba, James M.、Summers, Lawrence H.(1991)。Speculative Dynamics。The Review of Economic Studies,58(3),529-546。  new window
3.Daniel, Kent D.、Hirshleifer, David、Subrahmanyam, Avanidhar(2001)。Overconfidence, arbitrage, and equilibrium asset pricing。Journal of Finance,56(3),921-965。  new window
4.Fama, Eugene F.(1991)。Efficient Capital Markets: A Review of Theory and Empirical Work。Journal of Finance,26(5),1575-1617。  new window
5.Samuelson, Paul A.(1965)。Proof that Properly Anticipated Prices Fluctuate Randomly。Industrial Management Review,6(2),41-49。  new window
6.Granger, C. W. J.(1969)。Investigating causal relations by econometric model and cross-spectral methods。Econometrica,37(3),24-36。  new window
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8.Granger, C. W. J.(1988)。Some Recent Development in the Concept of Causality。Journal of Econometrics,39(1/2),199-211。  new window
9.Froot, Kenneth A.、Scharfstein, David S.、Stein, Jeremy C.(1993)。Risk Management: Coordinating Corporate Investment and Financing Policies。Journal of Finance,48(5),1629-1658。  new window
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14.Fama, E. F.(1965)。The behavior of stock market prices。Journal of Business,38(1),34-105。  new window
15.Shiller, Robert J.(1979)。The Volatility of Long-Term Interest Rates and Expectations Models of the Term Structure。Journal of Political Economy,87(6),1190-1219。  new window
16.Barberis, Nicholas、Shleifer, Andrei、Vishny, Robert W.(1998)。A model of investor sentiment。Journal of Financial Economics,49(3),307-343。  new window
17.de Long, J. Bradford、Shleifer, Andrei、Summers, Lawrence H.、Waldmann, Robert J.(1990)。Noise trader risk in financial markets。Journal of Political Economy,98(4),703-738。  new window
18.Sims, Christopher A.(1980)。Macroeconomics and Reality。Econometrica: Journal of the Econometric Society,48(1),1-48。  new window
19.Rouwenhorst, K. Geert(1998)。International Momentum Strategies。The Journal of Finance,53(1),267-284。  new window
20.Wermers, Russ(1999)。Mutual Fund Herding and the Impact on Stock Prices。Journal of Finance,54(2),581-622。  new window
21.Fama, Eugene F.、French, Kenneth R.(1988)。Dividend Yields and Expected Stock Returns。Journal of Financial Economics,22(1),3-25。  new window
22.Genesove, David、Mayer, Christopher(2001)。Nominal loss aversion and seller behavior: Evidence from the housing market。Quarterly Journal of Economics,116(4),1233-1260。  new window
23.Lakonishok, Josef、Shleifer, Andrei、Vishny, Robert W.(1992)。The Impact of Institutional Trading on Stock Prices。Journal of Financial Economics,32(1),23-43。  new window
24.Jegadeesh, Narasimhan、Titman, Sheridan(1993)。Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency。The Journal of Finance,48(1),65-91。  new window
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27.Poterba, James M.、Summers, Lawrence H.(1988)。Mean Reversion in Stock Prices: Evidence and Implications。Journal of Financial Economics,22(1),27-59。  new window
研究報告
1.Bremer, M. A.、Sweeney, R. J.(1991)。The information content of extreme negative rates of return。Claremount McKenna College。  new window
圖書
1.O'Shaughnessy, James P.(1996)。What Works on Wall Street: A Guide to the Best- Performing Investment Strategies of All Time。New York:McGraw-Hill。  new window
2.Kestner, Lars(2004)。Quantitative Trading Strategies。New York:The McGraw-Hill。  new window
3.Williams, Larry(1999)。Long-Term Secerets to Short-Term Trading。John Wiley & Sons。  new window
4.Shiller, Robert J.(2000)。Irrational Exuberance。Princeton University Press。  new window
圖書論文
1.Bachelier, L.(1967)。Theory of speculation。The Random Character of Stock Market Prices。MIT Press。  new window
 
 
 
 
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