The Feasibility Analysis of Forming an Investment Strategy Depending on Price Bubbles
碩士 === 國立中央大學 === 財務金融學系 === 103 === How to exploit the upward trend at prices bubbles period while avoiding collapse of the bubble is the main issue in our research. First, we have to define price bubble period. Our research will quote modified unit root test from Phillips et al. (2009). The reason...
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| Format: | Others |
| Language: | zh-TW |
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2015
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| Online Access: | http://ndltd.ncl.edu.tw/handle/66715759750142085939 |
| Summary: | 碩士 === 國立中央大學 === 財務金融學系 === 103 === How to exploit the upward trend at prices bubbles period while avoiding collapse of the bubble is the main issue in our research. First, we have to define price bubble period. Our research will quote modified unit root test from Phillips et al. (2009). The reason why we don’t use traditional unit root test is that it don’t have much power to detect periodically collapsing bubble which may be taken as evident against the presence of bubbles. We will use unit root test for each closed price in every industry, and then make investment decision according to the signals of bubbles test result. The empirical results confirmed that the investment strategy according to the bubble signals in industry outperform the industry index portfolio .We can get 47.12% annualized excess return on average according our investment strategy. The highest annualized excess return is 218.34% and the excess return is significant under 1% level in Electronic components industry. Bubbles portfolio still can beat market after considering transaction cost. Our research provides empirical evident that investors can riding bubbles effectively to make profit.
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