臺灣博碩士論文加值系統

本篇論文試著想從股票市場中，找尋到可提供投資人作投資決策參考的投資方法，考量開盤壓力這個因素，端視是否與股票報酬間產生連動性之影響．

This paper is intended to explore the way to make money with a different view. There may be systematic type attitudes in the stock market. We expect that it has certain rules and can be followed. If the interior attitude exists, the arbitrage chances will exist.

In this thesis, we try to investigate investors remain profitable after considering stock market frictions regarding both previous day’s closing prices and daily opening prices in a setting. Using stock investments from TEJ (Taiwan Economic Journal) from October 1, 2003, to September 30, 2005. We use stock code 2498, 5346, 0050, 3053, and 5348 to be my target and test whether strategies remain profitable after considering market frictions induced by trading. Then the transaction costs add up to the total investments, the profits are outstanding.

We can make investment tactic when to get in and out and people can sell it to get the best π with this channel by our strategies. And the characteristic of the stock having big vibration of volume of trade and price is suitable for our strategies. This result confirms the informational role of telling investors invest in these special-pattern stocks before the apparent profit opportunities vanish.

Outline

Outline iv
Figure v
Table vi

Introduction 7

Related Literature 10
I. Momentum Trading Strategies 10
II. Variables Related to Stock Returns 13

Data and Methodology 14
I. Data and Descriptive Statistics 14
II. Methodology 16
i. Time 16
ii. Opening Pressure 16
iii. π 17

Conclusions and Suggestions 25
I. Conclusions of empirical results 25
II. Suggestions of the data 26

Appendix 27

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