题名

CAN OPENING PRICES CREATE VALUE FOR INVESTORS?

DOI

10.6292/AFPF.2016.07.10

作者

Tsung-Hsun Lu；Yi-Chi Chen；Jinji Chen

关键词

Overreaction ； Behavioral Finance ； Contrarian Profit ； Trading Rule ； Taiwan

期刊名称

Advances in Financial Planning and Forecasting

卷期/出版年月

7期（2016 / 10 / 01）

页次

209 - 224

内容语文

英文
中文摘要

In this paper, we aim to investigate extreme short-term contrarian profits in Taiwan by observing whether stock opening prices have information content. In contrast to earlier studies, we adopt a variable period holding approach. For robustness checks, three sub-period and two sub-sample tests are conducted by taking actual transaction costs into consideration. It is discovered that utilizing the stock opening price signals, contrarian trading strategies thrive in Taiwan's stock market. Based on the results of this work, suggestions are made with regard to the development of new contrarian trading strategies.
主题分类 社會科學 > 經濟學
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被引用次数
  1. 陳詩婷,王明昌,丁裕家(2023)。應用卷積神經網路辨識股票K線影像改善投資組合策略之研究。管理與系統，30(2)，229-262。
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