Price momentum and Program trading

• Main Authors: Wei-Che Kuo, 郭維哲
• Other Authors: Chao-Hsien Lin
• Format: Others
• Language: zh-TW
• Published: 2015
• Online Access: http://ndltd.ncl.edu.tw/handle/63975055910952924264

碩士 === 國立高雄第一科技大學 === 財務管理研究所 === 103 === This paper researches that whether the stock that conforms price momentum under the program trading has the excess return. Price momentum means that if one stock’s price increasing, it will continue to increase, and vice versa. The reason that cause this phenomenon is because the investors under-reaction to information. The most used the price momentum is the momentum investing strategy. As we know, First, we set up the investment portfolio, choice the stock with hit the new records on twenty straight days, and the average stock price must higher than past three months. The volumes of stock are higher than 700 with 5 days average. Also selling the stock when the price falling 7% from highest point. The samples of this research are selected from 2010 to 2014. As a result, the investment portfolio that conforms momentum strategy from the samples is able to get positive excess return after the transaction of costs. This empirical study follows Jegadeesh and Titman’s theory that the house money behavior makes stock price increase. It can be also applied in practices.