English  |  正體中文  |  简体中文  |  Post-Print筆數 : 27 |  Items with full text/Total items : 113822/144841 (79%)
Visitors : 51826736      Online Users : 542
RC Version 6.0 © Powered By DSPACE, MIT. Enhanced by NTU Library IR team.
Scope Tips:
  • please add "double quotation mark" for query phrases to get precise results
  • please goto advance search for comprehansive author search
  • Adv. Search
    HomeLoginUploadHelpAboutAdminister Goto mobile version
    政大機構典藏 > 商學院 > 財務管理學系 > 學位論文 >  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.
    Reference: Alexander, C., & Dakos, M. (2019). A critical investigation of cryptocurrency data and analysis. Quantitative Finance, 20(2), 173–188.
    Amihud, Y., & Mendelson, H. (1986). Asset pricing and the bid-ask spread. Journal of Financial Economics, 17(2), 223-249.
    Asness, C. S., Moskowitz, T. J., & Pedersen, L. H. (2013). Value and momentum everywhere. The Journal of Finance, 68(3), 929-985.
    Barberis, N., Shleifer, A., & Vishny, R. (1998). A model of investor sentiment. Journal of Financial Economics, 49(3), 307-343.
    Baur, D. G., Hong, K., & Lee, A. D. (2018). Bitcoin: Medium of exchange or speculative assets? Journal of International Financial Markets, Institutions and Money, 54, 177-189.
    Bianchi, D. (2020). Cryptocurrencies as an asset class? an empirical assessment. The Journal of Alternative Investments, 23(2), 162-179
    Bouri, E., Molnár, P., Azzi, G., Roubaud, D., & Hagfors, L. I. (2017). On the hedge and safe haven properties of Bitcoin: Is it really more than a diversifier? Finance Research Letters, 20, 192-198.
    Carhart, M. M. (1997). On persistence in mutual fund performance. The Journal of Finance, 52(1), 57-82.
    Chordia, T., & Swaminathan, B. (2000). Trading volume and cross‐autocorrelations in stock returns. The Journal of Finance, 55(2), 913-935.
    Conlon, T., & McGee, R. (2020). Safe haven or risky hazard? Bitcoin during the COVID-19 bear market. Finance Research Letters, 35, 101607.
    Corbet, S., Meegan, A., Lucey, B., Urquhart, A., & Yarovaya, L. (2017). Cryptocurrency: A new investment opportunity? Journal of Asset Management, 18(4), 396-409.
    Daniel, K., Hirshleifer, D., & Subrahmanyam, A. (1998). Investor psychology and security market under‐ and overreactions. The Journal of Finance, 53(6), 1839-1885.
    Detzel, A., Liu, H., Strauss, J., Zhou, G., & Zhu, Y. (2021). Learning and predictability via technical analysis: evidence from Bitcoin and stocks with hard‐to‐value fundamentals. Financial Management, 50(1), 107-137.
    Fama, E. F., & French, K. R. (1992). The cross‐section of expected stock returns. The Journal of Finance, 47(2), 427-465.
    Geczy, C. C., & Samonov, M. (2017). Two centuries of multi-asset momentum (2017). SSRN Electronic Journal.
    Jegadeesh, N., & Titman, S. (1993). Returns to buying winners and selling losers: Implications for stock market efficiency. The Journal of Finance, 48(1), 65-91.
    Kyriazis, N. A. (2019). A survey on efficiency and profitable trading opportunities in cryptocurrency markets. Journal of Risk and Financial Management, 12(2), 67.
    Liu, Y., & Tsyvinski, A. (2020). Risks and returns of cryptocurrency. The Review of Financial Studies, 34(6), 2689-2727.
    Liu, Y., Tsyvinski, A., & Wu, X. (2022). Common risk factors in cryptocurrency. The Journal of Finance, 77(2), 1133-1177.
    Nakamoto, S. (2008). Bitcoin: A peer-to-peer electronic cash system.
    Pelster, M., Breitmayer, B., & Hasso, T. (2019). Are cryptocurrency traders pioneers or just risk-seekers? Evidence from brokerage accounts. Economic Letters, 182, 98-100.
    Pitkäjärvi, M., Suominen, M., & Vaittinen, L. (2020). Cross-asset signals and time series momentum. Journal of Financial Economics, 136(1), 63-85.
    Shen, D., Urquhart, A., & Wang, P. (2019). Does Twitter predict Bitcoin? Economics Letters, 174, 118-122.
    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:[財務管理學系] 學位論文

    Files in This Item:

    File Description SizeFormat
    701101.pdf2857KbAdobe PDF2View/Open


    All items in 政大典藏 are protected by copyright, with all rights reserved.


    社群 sharing

    著作權政策宣告 Copyright Announcement
    1.本網站之數位內容為國立政治大學所收錄之機構典藏,無償提供學術研究與公眾教育等公益性使用,惟仍請適度,合理使用本網站之內容,以尊重著作權人之權益。商業上之利用,則請先取得著作權人之授權。
    The digital content of this website is part of National Chengchi University Institutional Repository. It provides free access to academic research and public education for non-commercial use. Please utilize it in a proper and reasonable manner and respect the rights of copyright owners. For commercial use, please obtain authorization from the copyright owner in advance.

    2.本網站之製作,已盡力防止侵害著作權人之權益,如仍發現本網站之數位內容有侵害著作權人權益情事者,請權利人通知本網站維護人員(nccur@nccu.edu.tw),維護人員將立即採取移除該數位著作等補救措施。
    NCCU Institutional Repository is made to protect the interests of copyright owners. If you believe that any material on the website infringes copyright, please contact our staff(nccur@nccu.edu.tw). We will remove the work from the repository and investigate your claim.
    DSpace Software Copyright © 2002-2004  MIT &  Hewlett-Packard  /   Enhanced by   NTU Library IR team Copyright ©   - Feedback