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研究生(外文):Hung-Yi Lin
論文名稱(外文):Overnight trading strategies on large price movements
指導教授(外文):Anchor Y.LinChung-Ying Yeh
口試委員(外文):Che-Chun Lin
外文關鍵詞:large price movementdelayed price discoverycontagion effect
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With the advancement of technology, accessing information has become easier and easier. However, stock prices are often influenced by various news and policy factors, which can result in significant fluctuations. Therefore, when facing large price fluctuations, many investors may make irrational decisions, leading to an overreaction in stock prices. This study believes that in addition to the phenomenon of overreaction, stocks with significant price fluctuations also experience a contagion effect from the rise and fall of the US stock index, which affects their prices. Therefore, this study incorporates the factor of the US stock market and analyzes intraday data to observe whether stocks with significant price fluctuations overreact and exhibit contagion effects after a large increase or decrease in the US stock index on the previous day, with the aim of identifying short-term profit opportunities.
This study found that a significant increase or decrease in the US stock index indeed has a contagion effect on stocks listed in Taiwan. For example, when the NASDAQ index experienced a 3%-4% decline yesterday, investors today can profit by trading stocks that have fallen more than 7% but have not reached the daily limit. Furthermore, through regression analysis, this study further discovered a significant relationship between returns and factors such as small market capitalization, high stock prices, and high trading volume. This indicates that these companies exhibit a more pronounced overreaction phenomenon when the NASDAQ index experiences a significant decline.
摘要 i
Abstract ii
目 錄 iii
圖 目 錄 iv
表 目 錄 v
第一章 緒論 1
第一節 研究背景與動機 1
第二節 研究目的 1
第三節 研究架構與流程 2
第二章 文獻回顧 3
第一節 傳染效應 3
第二節 漲跌停限制 4
第三節 市場情緒 5
第三章 研究方法 6
第一節 研究樣本 6
第二節 大漲與大跌條件與交易策略 6
第三節 研究方法與假說 8
第四章 實證分析 12
第一節 各組別之模擬結果分析 12
第二節 綜合比較 18
第三節 迴歸分析 22
第五章 結論與建議 23
參考文獻 24
中文文獻 :
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