碩士 / 朝陽科技大學 / 財務金融系碩士班 / 91 / Since China is the most important emerging market in the world, shares
listed in Shanghai and Shenzhen stock exchanges are examined in this study. By
using the time series model of ARMA(p,q) incorporates GARCH(s,m), the lead
and lag relationships between share returns and turnover ratios are found, and
then investment strategies is formed. It is intended to see whether the investment rewards based on these strategies can beat the buy-and-hold returns on the very next day, before and after transaction cost. The two-step procedure is then rolled forward one day, as well as many days into the future.
Results show that the investment returns are capable of beating the market
at the level of index futures, but not in the level of single shares after transaction cost. Plausible reasons are that the trading costs for index futures are cheaper than for single shares spot. The Asia financial crisis occurred during the study period which made shares become too volatile to predicted. And since China is still on the stage of developing, the markets may work inefficiently in comparison with the markets of world major countries.
| Identifer | oai:union.ndltd.org:TW/091CYIT5304028 |
| Date | January 2003 |
| Creators | Wen-Chien Lin, 林文健 |
| Contributors | Tiein Jin, 金鐵英 |
| Source Sets | National Digital Library of Theses and Dissertations in Taiwan |
| Language | zh-TW |
| Detected Language | English |
| Type | 學位論文 ; thesis |
| Format | 132 |
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