| Summary: | 碩士 === 國立政治大學 === 財務管理研究所 === 101 === Some participants in stock market have to hold their position for longer time. For example, four major fund that government manage for people, and stock fund managed by investing trust company fund manager. Author suggest that “big investors” in stock market have to take care of their performance so that can keep their job. Under these pressure, “big investor” would willing to buy stocks when stock market crush, and this action will have similar results as “stock index protection effect” to avoid margin ratio fall down to margin call level for too long time , because , since it happened, stock market will fall to the lower level, and probably cause the stock market crush.
According to the assumption above, author observe relation between margin ratio and stock market index trend and develop a series of trading rule. But after counting in transaction fee, only month data has significant return , so author thought that use only one bench mark range to build trading rule is not effective.
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