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    題名: 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
    貢獻者: 財務金融學系
    關鍵詞: 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
    上傳時間: 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.
    顯示於類別:[財務金融學系 ] 博碩士論文

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