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    Please use this identifier to cite or link to this item: https://nccur.lib.nccu.edu.tw/handle/140.119/30973


    Title: Does momentum or reversal effect exist in Taiwan`s futures market?
    Authors: 黃逸塵
    Huang, Yi-Chen
    Contributors: 周行一
    Chow, Edward H.
    黃逸塵
    Huang, Yi-Chen
    Keywords: momentum
    reversal
    trading
    behavioral
    futures
    Date: 2004
    Issue Date: 2009-09-14
    Abstract: Our result suggests a momentum effect in the index futures market that we find an abcdrmal return in some specific situations after deducting the transaction costs and tax in the simulation. All positive profits concentrate on short-term observing periods and short-term holding periods in momentum strategy. There is an obvious tendency that the profits slump through the increase of observing periods and the increase of holding periods. And the standard deviation of the profits goes larger as the holding periods extend. The momentum effect would still show in a shorter time period but a lower magnitude when we set the return criterion smaller. This phenomenon concurs with our expectation and implies that the behavioral theories can explain some parts of the momentum effect. In some cases the reversal profits are stronger in long-term observing periods but the standard deviation of it becomes very large and makes it difficult to implement. Other cases the profits are significant in short-term observing periods by intermediate or long-term holdings and long-term observing becomes disappointed. It needs more tests for a larger sample size to capture the characteristics of reversal phenomenon and acquire the parameters that can seize the reversal effect.
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    Description: 碩士
    國立政治大學
    財務管理研究所
    92357030
    93
    Source URI: http://thesis.lib.nccu.edu.tw/record/#G0092357030
    Data Type: thesis
    Appears in Collections:[Department of Finance] Theses

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