Momentum investing strategy performance in ETF 100 component stocks: using foreign investors transaction data as sampling

• Main Authors: Meng-shu Tsai, 蔡孟束
• Other Authors: Chao-hsien Lin
• Format: Others
• Language: zh-TW
• Published: 2014
• Online Access: http://ndltd.ncl.edu.tw/handle/43643835323967873088

碩士 === 國立高雄第一科技大學 === 財務管理研究所 === 102 === This study investigates the momentum of foreign investment strategy, whether the investment performance of the reference value in Taiwan Mid-Cap 100 constituent stocks in the stock market. Medium to study ways to the Taiwan Stock Exchange in April 2014 defined 100 constituent when the sample, track between 2013 January to the end of 2014 April, the month when foreign investors buy more than the number of sheets over five thousand stocks, these stocks as an investment target, and calculate the performance of investments held one month to three months. The results showed, follow invest in stocks of foreign capital into the stock market returns are available, and with the hold time stretched to three months, there will be a significant improvement rate of return, Therefore, the trading of foreign investors to follow over investment, may have a chance to get excess returns.