政大機構典藏-National Chengchi University Institutional Repository(NCCUR):Item 140.119/152722

政大機構典藏-National Chengchi University Institutional Repository(NCCUR):Item 140.119/152722

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政大典藏 > College of Commerce > Department of Finance > Theses > Item 140.119/152722

Please use this identifier to cite or link to this item: https://nccur.lib.nccu.edu.tw/handle/140.119/152722

Title:	跨市場時間序列動能策略，以股市與加密貨幣市場為例 Cross-Market Momentum Strategies: Evidence from the Stock Market and Cryptocurrency Market
Authors:	王炳淳 Wang, Ping-Chun
Contributors:	岳夢蘭 Yueh Meng-Lan 王炳淳 Wang, Ping-Chun
Keywords:	跨市場動能策略時間序列動能效應加密貨幣 Cross-market momentum strategy Time-series momentum effect Cryptocurrency
Date:	2024
Issue Date:	2024-08-05 13:42:31 (UTC+8)
Abstract:	本研究探討跨市場動能策略在股市和加密貨幣市場中的應用及其有效性。我們使用 2014 至 2023 年間 Coinmarketcap 提供的加密貨幣數據和 CRSP US Total Market 指數的股市數據。結果顯示，加密貨幣市場的時間序列動能效應顯著，兩市場間的動能資訊可互為正向預測指標。基於此，建立的跨市場時間序列動能策略在控制傳統風險因子後，依然能產生超額報酬，且表現優於單純持有策略和同市場的時間序列動能策略。然而，同市場的時間序列動能對此策略有顯著的解釋力，尤其在加密貨幣市場中更為明顯。 This study explores the application and effectiveness of cross-market momentum strategies in the stock and cryptocurrency markets. We utilized cryptocurrency data from Coinmarketcap and stock market data from the CRSP US Total Market Index, covering the period from 2014 to 2023. The results show that the time-series momentum effect in the cryptocurrency market is significant, and momentum information between the two markets can serve as positive predictive indicators for each other. The cross-market time-series momentum strategy established on this basis still exhibits excess returns after controlling for traditional risk factors and outperforms both a simple buy-and-hold strategy and single-market time-series momentum strategies. However, single-market time-series momentum has significant explanatory power for this strategy, particularly in the cryptocurrency market.
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Description:	碩士國立政治大學財務管理學系 111357011
Source URI:	http://thesis.lib.nccu.edu.tw/record/#G0111357011
Data Type:	thesis
Appears in Collections:	[Department of Finance] Theses

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