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研究生:吳梅嫈
研究生(外文):Mei-ying Wu
論文名稱:Market-TimingStrategyinNIKKEI225,inFTSR100,andinDJIA
論文名稱(外文):Market-Timing Strategy in NIKKEI 225, in FTSR100, and in DJIA
指導教授:陳安行陳安行引用關係
指導教授(外文):An-Shing Chen
學位類別:碩士
校院名稱:國立中正大學
系所名稱:財務金融所
學門:商業及管理學門
學類:財務金融學類
論文種類:學術論文
畢業學年度:93
語文別:英文
論文頁數:39
中文關鍵詞:spreadmarket-timingstrategy
外文關鍵詞:market-timingstrategyspread
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Abstract

In this paper, we examine the market-timing strategies in three important stock markets: Nikkei 225, FTSE 100, and DJIA. We predicted that the performance of the market-timing strategies would be better than the performance of the strategy which never sells the stocks. We use the long and short spreads as the switching strategies. When the spread is lower than the twentieth percentile of spreads, we forecast the stock market will be pressingly downturn next month. Therefore, we will hold the stock position in most months but sell the stock position in those really bad months.

In Nikkei 225 and DJIA, the switching strategies of spreads outperformed the benchmark portfolios. The means of monthly returns of the spread strategies are more than the original strategies. The standards deviations of the spread strategies are lower than the original strategies. The end values and Sharpe ratios of the spreads strategies are also more than the original strategies.
Abstract

In this paper, we examine the market-timing strategies in three important stock markets: Nikkei 225, FTSE 100, and DJIA. We predicted that the performance of the market-timing strategies would be better than the performance of the strategy which never sells the stocks. We use the long and short spreads as the switching strategies. When the spread is lower than the twentieth percentile of spreads, we forecast the stock market will be pressingly downturn next month. Therefore, we will hold the stock position in most months but sell the stock position in those really bad months.

In Nikkei 225 and DJIA, the switching strategies of spreads outperformed the benchmark portfolios. The means of monthly returns of the spread strategies are more than the original strategies. The standards deviations of the spread strategies are lower than the original strategies. The end values and Sharpe ratios of the spreads strategies are also more than the original strategies.
Catalog

1. Introduction………………………………………………………. 1
2. Reviews…………………………………………………………... 2
3. Research Model…………………………………………………... 6
4. Empirical Results…………………………………………………. 9
4.1 The Quality of Spread’s Signals …………………………..... 9
4.2 Performances of Switching Strategies…………………….... 10
4.3 End Values of Switching Strategies………………………… 12
4.4 Transaction Cost……………………………………………. 14
4.4 Transaction Cost……………………………………………. 15
5. Conclusion ………………………………………………………. 17
References………………………………………………………...... 19
Footnotes…………………………………………………………… 21
Appendix ……………………………………………...…………… 37
Appendix Ⅱ ……………………………………………………..… 38
Appendix Ⅲ ……………………………………………………..… 39
References

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Dreman, D. and M. Berry. “Overreaction, Underreaction, and the Low-P/E Effect.” Financial Analysts Journal, vol. 51, no. 4 (July/August 1995) pp. 21-30

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Fuller, Russell J. and John L. Kling. “Is the Stock Market Predictable?” The Journal of Portfolio Management;; vol. 16, no. 4 (Summer 1990), pp 28-36

Fuller, Russell J., Lex C. Huberts, and Michael J. Levinson., “Returns to E/P Strategies, Higgledy-Piggledy Growth, Analysts' Forecast Errors, and Omitted Risk Factors.” The Journal of Portfolio Management, vol. 19, no. 2 (Winter 1993) pp. 13-24

Grauer, Robert R., Nils H. Hakansson, and Frederick C. Shen. “Industry Rotation in the U.S. Stock Market: 1934-1986 Returns on Passive, Semi-Passive, and Active Strategies” Journal of Banking and Finance, vol. 14, nos. 2/3 (August 1990), pp. 513-538

Henriksson, Roy D. and Robert C. Merton “On Market Timing and Investment Performance. Ⅱ. Statistical Procedures for Evaluating Forecasting Skills” The Journal of Business, vol. 54, no. 4 (October 1981), pp. 513-533


Lander, Joel, Athanasios Orphanides, and Martha Douvogiannis. “Earnings Forecasts and the Predictability of Stock Returns: Evidence from Trading the S&P.” The Journal of Portfolio Management, vol. 23, no. 4 (Summer 1997), pp.24-35

Lettau, Martinand and Sydney Ludvigson. “Consumption, Aggregate Wealth, and Expected Stock Returns.” The Journal of Finance, vol. 56, no. 3 (June 2001), pp.815-49

Merton, Robert C. “On Market Timing and Investment Performance. Ⅰ. An Equilibrium Theory of Value for Market Forecasts” The Journal of Business, vol. 54, no. 3 (July 1981), pp. 363-406

Shen, Pu. “Market-Timing Strategies That Worked” Federal Reserve Bank of Kansas City, Research Working Paper 02-01, May 2002
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