碩士 / 銘傳大學 / 財務金融學系碩士班 / 97 / This paper studies the Turtle trading strategy built by Richard Dennis, then according the results to test whether Taiwan stock market fit the weak form efficiency market. Turtle strategy is based on the assumption of underreaction from momentum strategy. Dennis earned 80 million in 1986 by using Turtle strategy, which made him become a Wall Street golden boy. This paper use Taiwan 50 component stocks as our sample, and use t tests of paired and bootstrap to examine whether Turtle strategy can generate excess return.
Our findings suggest that Turtle strategy doesn’t outperform buy-and-hold strategy under Taiwan 50 component stocks. But there is one particularly finding: Turtle strategy can significantly outperform buy-and-hold strategy under a subsample of business cycled stocks, yet this finding is only limited in business cycled stocks, our results can’t reject that there is weak efficiency in Taiwan stock market.
| Identifer | oai:union.ndltd.org:TW/097MCU05214052 |
| Date | January 2009 |
| Creators | Yu-Ching Chen, 陳裕京 |
| Contributors | Jing-Tung Wu, Kuo-Cheng Huang, 吳靖東, 黃國誠 |
| Source Sets | National Digital Library of Theses and Dissertations in Taiwan |
| Language | zh-TW |
| Detected Language | English |
| Type | 學位論文 ; thesis |
| Format | 76 |
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