政大機構典藏-National Chengchi University Institutional Repository(NCCUR):Item 140.119/152722
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    政大機構典藏 > 商學院 > 財務管理學系 > 學位論文 >  Item 140.119/152722


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    题名: 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
    作者: 王炳淳
    Wang, Ping-Chun
    贡献者: 岳夢蘭
    Yueh Meng-Lan
    王炳淳
    Wang, Ping-Chun
    关键词: 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
    日期: 2024
    上传时间: 2024-08-05 13:42:31 (UTC+8)
    摘要: 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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    描述: 碩士
    國立政治大學
    財務管理學系
    111357011
    資料來源: http://thesis.lib.nccu.edu.tw/record/#G0111357011
    数据类型: thesis
    显示于类别:[財務管理學系] 學位論文

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