| Summary: | 碩士 === 淡江大學 === 財務金融學系碩士班 === 94 === This study analyzes portfolio strategies based on the approaches of Jegadeesh
and Titman (1993); besides, we build price or volume trading strategies with market
frictions and use daily data of TSEC Taiwan 50 Index Constituents from July,
2nd,1996 to June, 30th, 2005.
Our result finds that when we do not calculate trading costs, the contrarian
strategies constituted on the basis of former returns of individual stock generate
significant positive returns in the extreme short-term. And in the volume investment
strategy, we find that our better performance is to buy stocks with relative
higher-turnover in the past and sell that with relative lower-turnover in the past
simultaneity, which expresses the positive relation between price and volume in
Taiwan stock market. However, price or volume strategies perform the worst after
trading costs. As the holding periods are shorter, the trading costs have more
significant impact on returns, and would have higher trading costs when we short
portfolios. In addition to trading costs, we consider that round-lot restriction in
trading stocks and it would have small impact on the momentum strategies that
constituted on the basis of former returns of individual stock. Besides, round-lot
restriction in trading stocks would drop the return of volume investment strategies
when we buy stocks with relative high-turnover in the past and sell that with relative
low-turnover in the past simultaneity.
Additionally, we test whether different investment constituents of portfolios
could influence the performance of trading strategies. We find that the more stock
investment constituents of portfolios have, the worse trading strategies performance
are. As considering different capital in the rounding-lot restriction, the rounding error
would not more significant when the holding periods increase.
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