Bubble Momentum

• Main Authors: Huang,Tsai-Ni, 黃寀霓
• Other Authors: Guo, Zi-On
• Format: Others
• Language: zh-TW
• Published: 2019
• Online Access: http://ndltd.ncl.edu.tw/handle/yuwx63

碩士 === 國立彰化師範大學 === 財務金融技術學系 === 107 === This study attempts to explore whether the bubble stocks keep rising to 100% within two years will continue to rise or not after the bubble event. Then, we observe the changes in the cumulative return and the cumulative excess return, and detect whether the bubble stocks have momentum phenomenon or not. Based on Taiwan listed company stock price information during 1971 to 2019, we come to the following conclusions: (1) the median of cumulative return on the bubble stocks is an important statistic that cannot be ignored; (2) after the cumulative return is grouped according to the previous 3, 6, 12 and 24 months, we found the strongest momentum phenomenon when we use the previous 24 months of the cumulative return.; (3) the bubble stocks are grouped according to the stock price of the 0th period, and the group with the lowest stock price not only has the strongest momentum phenomenon, but also has the best performance than the other groups.