A Thesis Submitted to Institute of Finance and Information National Kaohsiung University of Applied Sciences in Partial Fulfillment of the Requirements For the Degree of Master in Business Administration
碩士 === 國立高雄應用科技大學 === 金融資訊研究所 === 101 === This thesis conducts empirical comparisons among the dynamic strategy combined with the reverse strategy and the momentum strategy, the market performance and the purchase and hold. The dynamic strategy in this research is combined with the reverse strategy...
Main Authors: | , |
---|---|
Other Authors: | |
Format: | Others |
Language: | zh-TW |
Published: |
2013
|
Online Access: | http://ndltd.ncl.edu.tw/handle/05002664174671966457 |
id |
ndltd-TW-101KUAS0213017 |
---|---|
record_format |
oai_dc |
spelling |
ndltd-TW-101KUAS02130172015-10-13T22:12:29Z http://ndltd.ncl.edu.tw/handle/05002664174671966457 A Thesis Submitted to Institute of Finance and Information National Kaohsiung University of Applied Sciences in Partial Fulfillment of the Requirements For the Degree of Master in Business Administration 整合反向策略與動能策略之台股投資績效實證 RUN-DE ZHONG 鍾潤德 碩士 國立高雄應用科技大學 金融資訊研究所 101 This thesis conducts empirical comparisons among the dynamic strategy combined with the reverse strategy and the momentum strategy, the market performance and the purchase and hold. The dynamic strategy in this research is combined with the reverse strategy on the market and with the momentum strategy on the personal shares. The former determines the timing of trading and the latter determines the investment choice of underlying stocks. Based on the market change, the dynamic strategy is divided into 7 types, namely Strategy I (+3%, -3%), strategy II (+5%, -3%) , strategy III(+5% -5%), strategy IV (+7%, -5%), strategy V (+7%, -7%), strategy VI (+9% -7%), strategic VII (+9% -9%). And all of them are analyzed based on two indicators, which are the performance during the holding period and the average holding performance. The empirical results presents empirical differences during different sample periods as follows. I. The entire sample period: During this period, the performance during the holding period and the average holding performance are consistent and the performance of Strategy V is much better than the other strategies. II. The long period: Evaluated by the performance during the holding period, Strategy VI and VII are much better than the others while Strategy III is much better in the average holding performance. III. The short period: Evaluated by the performance during the holding period, Strategy I is much better than the others while Strategy V is much better in the average holding performance. VI. The consolidation period: Strategy III is much better than the other strategies in the performance during the holding period but Strategy I is much better in the average holding performance. V. During the entire sample period, the analysis on strategies sensitivity of the four restrictive samples shows that the two indicators are consistent and Strategy V is much better than all the other strategies. 程言信 2013 學位論文 ; thesis 66 zh-TW |
collection |
NDLTD |
language |
zh-TW |
format |
Others
|
sources |
NDLTD |
description |
碩士 === 國立高雄應用科技大學 === 金融資訊研究所 === 101 === This thesis conducts empirical comparisons among the dynamic strategy combined with the reverse strategy and the momentum strategy, the market performance and the purchase and hold. The dynamic strategy in this research is combined with the reverse strategy on the market and with the momentum strategy on the personal shares. The former determines the timing of trading and the latter determines the investment choice of underlying stocks.
Based on the market change, the dynamic strategy is divided into 7 types, namely Strategy I (+3%, -3%), strategy II (+5%, -3%) , strategy III(+5% -5%), strategy IV (+7%, -5%), strategy V (+7%, -7%), strategy VI (+9% -7%), strategic VII (+9% -9%). And all of them are analyzed based on two indicators, which are the performance during the holding period and the average holding performance.
The empirical results presents empirical differences during different sample periods as follows.
I. The entire sample period: During this period, the performance during the holding period and the average holding performance are consistent and the performance of Strategy V is much better than the other strategies.
II. The long period: Evaluated by the performance during the holding period, Strategy VI and VII are much better than the others while Strategy III is much better in the average holding performance.
III. The short period: Evaluated by the performance during the holding period, Strategy I is much better than the others while Strategy V is much better in the average holding performance.
VI. The consolidation period: Strategy III is much better than the other strategies in the performance during the holding period but Strategy I is much better in the average holding performance.
V. During the entire sample period, the analysis on strategies sensitivity of the four restrictive samples shows that the two indicators are consistent and Strategy V is much better than all the other strategies.
|
author2 |
程言信 |
author_facet |
程言信 RUN-DE ZHONG 鍾潤德 |
author |
RUN-DE ZHONG 鍾潤德 |
spellingShingle |
RUN-DE ZHONG 鍾潤德 A Thesis Submitted to Institute of Finance and Information National Kaohsiung University of Applied Sciences in Partial Fulfillment of the Requirements For the Degree of Master in Business Administration |
author_sort |
RUN-DE ZHONG |
title |
A Thesis Submitted to Institute of Finance and Information National Kaohsiung University of Applied Sciences in Partial Fulfillment of the Requirements For the Degree of Master in Business Administration |
title_short |
A Thesis Submitted to Institute of Finance and Information National Kaohsiung University of Applied Sciences in Partial Fulfillment of the Requirements For the Degree of Master in Business Administration |
title_full |
A Thesis Submitted to Institute of Finance and Information National Kaohsiung University of Applied Sciences in Partial Fulfillment of the Requirements For the Degree of Master in Business Administration |
title_fullStr |
A Thesis Submitted to Institute of Finance and Information National Kaohsiung University of Applied Sciences in Partial Fulfillment of the Requirements For the Degree of Master in Business Administration |
title_full_unstemmed |
A Thesis Submitted to Institute of Finance and Information National Kaohsiung University of Applied Sciences in Partial Fulfillment of the Requirements For the Degree of Master in Business Administration |
title_sort |
thesis submitted to institute of finance and information national kaohsiung university of applied sciences in partial fulfillment of the requirements for the degree of master in business administration |
publishDate |
2013 |
url |
http://ndltd.ncl.edu.tw/handle/05002664174671966457 |
work_keys_str_mv |
AT rundezhong athesissubmittedtoinstituteoffinanceandinformationnationalkaohsiunguniversityofappliedsciencesinpartialfulfillmentoftherequirementsforthedegreeofmasterinbusinessadministration AT zhōngrùndé athesissubmittedtoinstituteoffinanceandinformationnationalkaohsiunguniversityofappliedsciencesinpartialfulfillmentoftherequirementsforthedegreeofmasterinbusinessadministration AT rundezhong zhěnghéfǎnxiàngcèlüèyǔdòngnéngcèlüèzhītáigǔtóuzījīxiàoshízhèng AT zhōngrùndé zhěnghéfǎnxiàngcèlüèyǔdòngnéngcèlüèzhītáigǔtóuzījīxiàoshízhèng AT rundezhong thesissubmittedtoinstituteoffinanceandinformationnationalkaohsiunguniversityofappliedsciencesinpartialfulfillmentoftherequirementsforthedegreeofmasterinbusinessadministration AT zhōngrùndé thesissubmittedtoinstituteoffinanceandinformationnationalkaohsiunguniversityofappliedsciencesinpartialfulfillmentoftherequirementsforthedegreeofmasterinbusinessadministration |
_version_ |
1718074150813171712 |