| Summary: | 碩士 === 逢甲大學 === 統計與精算所 === 99 === This research constructs a hedge portfolio using stock daily data of TWN50 and the futures of ZMTXA and detect whether momentum effect or over reaction exist in Taiwan by applying momentum strategies and contrarian strategies, verifying whether the hedge portfolio can reach excess return. The formation period and holding period are set to eight types - three, five, eight, ten, fifteen, twenty, twenty-five, and thirty days - when performing the verification of investment strategies. The result shows that over reaction exist in TWN50, and excess return can be reached on both bear and bull trend by utilizing contrarian strategy with different date.
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