Moving Average Timing Strategy from a Volatility Perspective: Evidence of the Taiwan Stock Market

ASIA unversity > 管理學院 > 財務金融學系 > 期刊論文 > Item 310904400/108386

jsp.display-item.identifier=請使用永久網址來引用或連結此文件: http://asiair.asia.edu.tw/ir/handle/310904400/108386

题名:	Moving Average Timing Strategy from a Volatility Perspective: Evidence of the Taiwan Stock Market
作者:	臧仕維;TZANG,SHYH-WEIR;蔡永順;Yung-shun Tsai;張俊評;Jun-Pin Chang
贡献者:	財務金融學系
日期:	2017-07
上传时间:	2017-12-08 06:07:07 (UTC+0)
摘要:	We apply the approach of [5] by examining whether the portfolios based on the trend-following strategy delivers abnormal returns. Sorted by volatility in previous year, portfolios are traded by following moving average timing strategy to examine their investment performance within the sample period from 1996–2011 for companies listed in the Taiwan stock market. We find that the moving average timing strategy outperforms the buy-and-hold strategy. The CAPM and the Fama-French three-factor models can explain the abnormal returns of the moving average timing strategy. Furthermore, the performance 10-day moving average timing strategy outperforms other timing strategies based on 20-, 50-, 100- and 200-day moving average across volatility quintiles. That means higher volatility quintile portfolios with 10-day moving average timing strategy tend to have better performance than those portfolios with longer days of moving average timing strategy.
显示于类别:	[財務金融學系] 期刊論文

文件中的档案:

档案	大小	格式	浏览次数
index.html	0Kb	HTML	444	检视/开启

在ASIAIR中所有的数据项都受到原著作权保护.