| DC 欄位 |
值 |
語言 |
| DC.contributor | 經濟學系 | zh_TW |
| DC.creator | 朱晉萱 | zh_TW |
| DC.creator | Chin-Hsuan Chu | en_US |
| dc.date.accessioned | 2017-7-12T07:39:07Z | |
| dc.date.available | 2017-7-12T07:39:07Z | |
| dc.date.issued | 2017 | |
| dc.identifier.uri | http://ir.lib.ncu.edu.tw:444/thesis/view_etd.asp?URN=104429004 | |
| dc.contributor.department | 經濟學系 | zh_TW |
| DC.description | 國立中央大學 | zh_TW |
| DC.description | National Central University | en_US |
| dc.description.abstract | 此篇論文為動能策略搭配停損策略做探討並針對形成期為6個月與持有期為1個月進行研究。而停損策略的幅度設為10%、15%以及20%。資料期間為1990年至2016年。實證結果顯示台灣股市於無搭配停損策略，並不存在動能效果。而在加入10%停損幅度之下並無顯著的超額報酬。而於15%及20%的停損幅度均存在顯著的超額報酬，可有效提高投資組合的超額報酬。接著把資料期間劃分為三段期間，實證結果顯示無論存在有無等待期，於10%之下均無顯著的超額報酬，但於15%限制幅度於1999年至2007年則存在超額報酬。而於20%停損幅度之下，1990年至1998年與1999年與2007年均存在超額報酬現象。 | zh_TW |
| dc.description.abstract | In this paper, the key idea is combination momentum strategy with stop loss level with ten percentage、fifteen percentage and twenty percentage. The formation period in the paper are six months and holding period is a month. The evidence shows that there is no momentum effect in Taiwan stock market. Then, we consider the stop loss limit in our model, we can find that under the ten percentage loss level, the average excess return per month does not exist significant excess returns. However, under the fifteen and twenty percentage, the evidence show that the average excess return would rise and exist excess returns.
When we cut our sample period into three sub-period, we can find that the evidence does not exist significant excess return in all three sub-period under loss level with ten percentage. However, under loss level with fifteen percentage, the average excess returns exist significant result from 1999 to 2007. Then, under loss level with fifteen percentage, the average excess returns exist significant result in 1990 to 1998 and 1999 to 2007. | en_US |
| DC.subject | 動能策略 | zh_TW |
| DC.subject | 停損策略 | zh_TW |
| DC.subject | 動能效果 | zh_TW |
| DC.subject | momentum effect | en_US |
| DC.subject | momentum strategy | en_US |
| DC.subject | stop loss | en_US |
| DC.title | 停損策略下動能策略之獲利分析 | zh_TW |
| dc.language.iso | zh-TW | zh-TW |
| DC.title | A Study in the combination of Stop loss strategy and Price Momentum Strategy: Evidence from Taiwan | en_US |
| DC.type | 博碩士論文 | zh_TW |
| DC.type | thesis | en_US |
| DC.publisher | National Central University | en_US |