台灣股市對美國股市隔夜報酬過度反應之研究

文化大學機構典藏 CCUR > 商學院 > 財務金融學系 > 博碩士論文 > Item 987654321/26000

jsp.display-item.identifier=請使用永久網址來引用或連結此文件: https://irlib.pccu.edu.tw/handle/987654321/26000

题名:	台灣股市對美國股市隔夜報酬過度反應之研究 A Study on the Taiwan Stock Market Overreaction to the Overnight Performance of the U.S. Stock Market
作者:	洪紫涵 Hung, Tzu-Han
贡献者:	財務金融學系
关键词:	過度反應反應不足行為財務日內資料 overreactions underreactions behavioral finance intraday
日期:	2013-06
上传时间:	2013-11-07 13:30:59 (UTC+8)
摘要:	This paper investigates the overreaction of Taiwan futures market to the over-night performance of the U.S market using the daily and intraday prices of the fu-tures index and its derivatives from 2005 to 2012, analyzed by one-samples t-test. Empirical results show that the Taiwan futures markets overreact to overnight performance of the U.S. market. Also, this paper found that the Taiwan futures mar-kets underreact before cash market. To take advantage of these anomalies, the index futures and index options are used in several simulation trading strategies. Excess returns are earned and the Sharpe ratios are employed to see whether the profit is the result of human psychology or simply a compensation of risk. After risk adjustment, the strategies are still profitable in Taiwan.
显示于类别:	[財務金融學系 ] 博碩士論文

文件中的档案:

档案	描述	大小	格式	浏览次数
index.html		0Kb	HTML	291	检视/开启

检视Licence

在CCUR中所有的数据项都受到原著作权保护.