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研究生:賴建元
研究生(外文):Chien-Yuan Lai
論文名稱:市場日內動能:以韓國KOSPI為例
論文名稱(外文):Market Intraday Momentum: Evidence from KOSPI Index
指導教授:蔡秉真
指導教授(外文):Ping-Chen Tsai
學位類別:碩士
校院名稱:國立中山大學
系所名稱:財務管理學系研究所
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
論文出版年:2022
畢業學年度:110
語文別:英文
論文頁數:70
中文關鍵詞:高頻交易日內動能週內動能隔夜報酬報酬可預測性韓國綜合股價指數
外文關鍵詞:High frequency tradingIntraday MomentumIntraweek MomentumOvernight returnReturn predictabilityKorea stock market
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本研究以韓國綜合股價指數(KOSPI)的高頻數據為樣本來檢驗日內時間序列動量是否存在,日內時間序列動量的定義為前一日收盤價至當日開盤後半小時成交價之報酬與收盤前半小時的報酬有顯著的正相關性。我們稍加修改,基於隔夜報酬的獨特性及市場的效率性,故將隔夜報酬另外討論,另外也引入了第二個30分鐘報酬與倒數第二個30分鐘作為自變數。本研究的樣本期間為2004年1月2日至2016年6月30日,而實證結果指出日內動能現象確實存在,特別的是,我們發現到第二個30分鐘報酬更能去預測最後的30分鐘報酬,會發生這個現象我們認為的原因為,每日交易時間的第一個30分鐘,許多的隔夜資訊被反應使得雜訊減少,因此第二個30分鐘所做的交易是更爲接近整天的市場狀況,這個結果與美國、中國市場的日內動能型態是截然不同的。
除此之外,當波動度高、交易量高、經濟指標發佈時,日內動能的現象更強。另外,若是透過本研究提出的標準化報酬的方式來檢驗內時間動能現象,可以對殘差有更好的解釋,統計上也有更為顯著的正相關。除此之外,除了日內動能,本研究還發現了KOSPI具有週內動能的現象,與週一效應有非常大的關聯。最後,為了證實日內動能能實際應用於市場,我們對日內動能的交易策略進行回測,結果顯示此交易策略適用於做多策略,在報酬率和勝率上皆有較佳的表現。
This research uses high frequency trading data of the Korea Composite Stock Price Index (KOSPI) as a sample to test whether intraday time series momentum exists. The difference between this research and previous papers is that we separate the overnight return from the first half-hour return (r_1), and also use the second half hour return (r_2) and the second-to-last half-hour return (r_11) as independent variables. We find significant intraday momentum in the Korea stock market. Specially, r_2 is more predictive of the r_12. We speculate that the reason for this phenomenon is that in the first 30-minutes of the daily trading time, a lot of overnight information is reflected, so r_2 is closer to the market conditions of the whole day. This result is very different from the intraday momentum pattern of the US and Chinese markets.
Moreover, our empirical results show the predictability of intraday momentum is stronger on more volatile days, on higher volume days and also on days when economic indicators are released.
In addition, using the standardized return proposed in this research, we test the intraday momentum and provide a better explanation for the residuals and obtain more significant positive correlations. Moreover, this study also found that KOSPI has intra-week momentum, which is very closely related to the Monday effect.
Finally, in order to verify that the intraday momentum strategy can be actually applied to the market, we conducted a back-testing of the intraday momentum trading strategy. The results showed that this trading strategy is suitable for long position and has better performance and winning percentage than other strategies.
論文審定書 .............................................................................................. i
致謝 ......................................................................................................... ii
摘要 ........................................................................................................ iii
Abstract ................................................................................................... iv
Table of Contents .................................................................................... v
List of Figures ......................................................................................... vii
List of Tables .......................................................................................... viii
Chapter 1 Introduction ........................................................................... 1
Section 1 Motivation ............................................................................... 1
Section 2 Research Methodology and Framework ............................... 1
Chapter 2 Literature Review ............................................................... ... 3
Section 1 Intraday Time Series Momentum .......................................... 3
Section 2 Overnight Return ................................................................... 5
Section 3 Market Microstructure ........................................................... 6
Chapter 3 Narrative Statistics ................................................................ 9
Section 1 Data ........................................................................................ 9
Section 2 Volume and Volatility Statistics per 30 minutes ................... 9
Section 3 Narrative Statistics of Per 30 Minutes Return ..................... 14
Chapter 4 Evidence and Analysis ........................................................ 18
Section 1 Experimental Methods and Design .................................... 18
Section 2 Regression Forecast Analysis ............................................. 21
Section 3 Volatility, Liquidity, Volume ............................................... 28
Section 4 Financial Crisis ................................................................... 32
Section 5 Macroeconomic Indicators ................................................ 33
Section 6 Market Timing Trading Strategies ..................................... 38
Chapter 5 Robustness ....................................................................... 44
Section 1 Conditional Predictability ................................................ 44
Section 2 Standardized Return ........................................................ 45
Section 3 Residual Analysis ............................................................. 47
Section 4 Last half-hourly return of the previous day .................... 50
Section 5 IntraWeek Momentum .................................................... 53
Chapter 6 Conclusion........................................................................................ 57
References......................................................................................... 59
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