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題 名 | 外資於全球金融危機事件期間之交易策略與投資績效=Foreigner's Trading Strategy and Investment Performance during Global Financial Crisis Events |
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作 者 | 李顯儀; 陳信宏; 何清隆; | 書刊名 | 財金論文叢刊 |
卷 期 | 13 2010.12[民99.12] |
頁 次 | 頁25-44 |
分類號 | 563.54 |
關鍵詞 | 外資; 金融危機事件; 動能策略; 投資績效; Foreign investors; Financial crisis events; Momentum trading strategies; Investment performance; |
語 文 | 中文(Chinese) |
中文摘要 | 本文主要探討2007年與2008年全球金融危機事件發生前後,外資在台灣50指數成分股之交易策略與投資績效。本文研究結果顯示,在金融危機發生前,外資採用動能策略,亦即,外資買進前期贏家投資組合股票,賣出前期輸家投資組合股票,同時,外資亦採用反向策略,即外資買進前期輸家投資組合股票。在金融危機發生後,外資依然運用動能策略與反向操作策略。此外,就投資績效表現而言,外資運用動能策略之績效表現優異,而反向策略因持有期間太短,其績效表現不佳。 |
英文摘要 | The objective of this paper is to examine the trading strategies and investment performance of foreign investors in the Taiwan 50 Index Constituents of Taiwan Stock Exchange (TWSE) before and after the global financial crisis events in 2007 and 2008. The results in this paper indicate, before and after financial crisis foreign investors employ momentum trading strategies by buying previous winner stocks and selling previous loser stocks, and also, employ contrarian trading strategies by buying previous loser stocks. The results show that the foreign investors still use momentum trading and contrarian strategies after the global financial crisis. However, the performances of momentum strategies significantly outperform those performances of contrarian strategies, because the holding period is too short by contrarian strategies. |
本系統中英文摘要資訊取自各篇刊載內容。