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研究生:Bolormaa Ganbat
研究生(外文):Bolormaa Ganbat
論文名稱:不同持有期的投資策略回事?從上海,香港,韓國,台灣
論文名稱(外文):Do Different Holding Period Investment Strategies Matter? Evidence from Stock Markets of Hong Kong, Korea, Shanghai, and Taiwan
指導教授:穆馬速穆馬速引用關係
指導教授(外文):Massoud Moslehpour
口試委員:穆馬速黃偉齡顧為元
口試委員(外文):Massoud MoslehpourHuang, StephanieGuh, WeiYuan
口試日期:2012-06-27
學位類別:碩士
校院名稱:亞洲大學
系所名稱:經營管理學系碩士班
學門:商業及管理學門
學類:企業管理學類
論文種類:學術論文
論文出版年:2013
畢業學年度:101
語文別:英文
論文頁數:41
中文關鍵詞:投資回報率持有期短期和長期投資
外文關鍵詞:Return on investmentholding periodsshort-term and long-term investment
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儘管有豐富的研究主要股市指數的回報率水平估計,但尚缺乏短期可預測性和長期投資的股票收益率變動方向的研究。因此,本研究探討在不同持有期、不同的股市的投資回報。然而在交易表現的關鍵指標和市場資本值的基礎上,本研究選擇了韓國證券交易所、上海證券交易所、香港聯合交易所、台灣證券交易所股市作為研究對象。而在評估比較輸出的情況下,採用方差分析建模技術和事後分析處理的每日、每
月、每季度、每半年和每年返還投資的情況,股市指數的時間序列數據。

本研究結果顯示,在給定的持有期之間的情況下,股市投資回報有顯著差異。
Despite abundant research which focuses on estimating the level of return on stock market
index, there is a lack of studies examining the predictability of the direction of stock return
movements for short-term and long-term investment. Therefore, the present study examines
return on investment of different holding periods in different stock markets. Basing on the
trading performance of key indices and market capitalization value, we selected Korean Stock
Exchange, Shanghai Stock Exchange, Hong Kong Stock Exchange, and Taiwan Stock Exchange
as for the case stock markets. In assessing the comparative output of the case stock markets, this
study used ANOVA modeling techniques and post-hoc analysis to process time series data of
daily, monthly, quarterly, semiannually and annually return of investments of indices of the case
stock markets.

Results of this study show that there are significant differences in return on
investment among the case stock markets in the given holding periods.
CONTENTS
ACKNOWLEDGEMENT ................................................................................................ i
ENLGISH ABSTRACT.................................................................................................... ii
CHINESE ABSTACT....................................................................................................... iii
CONTENT…………...………………………………………………………………….. iv
LIST OF TABLES………………………………………………………………………. vi
LIST OF FIGURES…………….………………………………………………………... vii
LIST OF EQUATIONS……………….…………………………………………………. viii
CHAPTER ONE. INTRODUCTION…………………………………………………. 1
Research background …………….……………………………......................... 1
Statement of the research problem …………….……….....…………………… 3
Research motivation ……………...………………….....……………………… 5
Research objectives ………………….………………………………………… 6
Research limitations…………...………………………......…………………… 6
CHAPTER TWO. LITERATURE REVIEW……………...…………………………. 7
Reviewing theoretical background……………..……………………………………… 7
Research variable and terminology description………...……………………… 11
Stock market………………….……………………............……………. 11
Stock exchange …………….…………………………….........………… 11
Investor and fund manager……………………………………………… 12
Investment in finance …….……...……………………………………… 12
Return on investment or investment return………………...…………… 13
Stock market index …………...………………………………………… 13
Short-term and long-term investment………………...………………… 13
TWSE …………….….………………………………………………… 14
KRE …………….……………………………………………………… 15
SSE ……………...……………………………………………………… 15
HKSE………...……………………………………………...…………… 16
CHAPTER THREE. RESEARCH METHODOLOGY............................................ 17
Data………………………………………………………………………....... 17
Research methodology……………………………………………………….. 17
Research framework and hypothesis development…………….…………….. 18
Statistical analysis …………...………………………………………………. 19
Research flow…………….…………………………………………………... 21
CHAPTER FOUR. DATA ANALYSIS AND RESEARCH FINDINGS……......... 22
Descriptive analysis…………………………………………………………... 22
ANOVA testing………………………………………………………………. 22
Findings from hypothesis testing...................................................................... 24
Post hoc analysis (multiple comparisons) …………………………………... 25
CHAPTER FIVE. CONCLUSION AND DISCUSSIONS………………………………… 32
Discussion…………………………………………………………………………… 32
In daily trading............................................................................................... 32
In monthly trading.......................................................................................... 32
In quarterly trading......................................................................................... 33
In semiannually trading.................................................................................. 33
In annually trading.......................................................................................... 33
Conclusion and managerial implication …………………………………………..... 33
Short-term investment periods.............................................................. 34
Mid-term investment periods................................................................ 34
Long-term investment periods.............................................................. 34
Advantages and drawbacks of short-term investments …………..…. 35
Advantages and drawbacks of long-term investments……………..... 35
References……………………………………………………………………. 37

LIST OF TABLES
Table 1. Statements of the research hypotheses............................................................. 19
Table 2. Statistical descriptive analyze of the four stock markets................................. 22
Table 3. ANOVA testing of the four stock markets...................................................... 23
Table 4. Post Hoc analysis for daily stock index........................................................... 26
Table 5. Post Hoc analysis for monthly stock index...................................................... 27
Table 6. Post Hoc analysis for quarterly stock index..................................................... 28
Table 7. Post Hoc analysis for semiannually stock index.............................................. 29
Table 8. Post Hoc analysis for annually stock index..................................................... 30

LIST OF FIGURES
FIGURE 1. Research framework.................................................................................. 18
FIGURE 2. Research flow ........................................................................................... 21

LIST OF EQUATIONS
EQUATION 1. Calculating return on investment....................................................... 13
EQUATION 2. Calculating return on investment....................................................... 13
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