Performance Of Momentum Investing Strategies Between Liv-ex Index And Taiwan 50 ETF

• Main Authors: Shu-Yin Kuo, 郭書吟
• Other Authors: Chao-Hsien Lin
• Format: Others
• Language: zh-TW
• Published: 2012
• Online Access: http://ndltd.ncl.edu.tw/handle/89457705876069543991

碩士 === 國立高雄第一科技大學 === 財務管理研究所 === 100 === There are much more individual investors than institutional investors in the stock market in Taiwan; however, at most of time, individual investors have less information than institutional investors do. The stories in financial crisis in recent years told that individual investors were in an inferior position compared to institutional investors. This study adopts data from January in 2004 to November in 2011 and examines with investment strategies of”Trial order，Out”and”Trial order，Overcharge，Out”. We find that (1) Liv-ex index：The performance is best when threshold of raising position or stopping loss is set at 5% and close position when the price rises or falls 5%. The return is 95%. The performance is worst when threshold of raising position or stopping loss is set at 7% and close position when the price rises or falls 7%. The return is 78%. (2) Taiwan 50 index：The performance is best when threshold of raising position or stopping loss is set at 6% and close position when the price rises or falls 5%. The return is 95%. The performance is worst when threshold of raising position or stopping loss is set at 7% and close position when the price rises or falls 7%. The return is 78%. The empirical results reveal that this momentum investment strategy performs better when the threshold of raising position or stopping is lower and raising position at a smaller scale.