A Study of Security Investment Strategy Based on Institutional Investors' Net Buy/Sell
| Autor: | Huang, Chitung, 黃啟東 |
|---|---|
| Rok vydání: | 2012 |
| Druh dokumentu: | 學位論文 ; thesis |
| Popis: | 100 We study the empirical effect of the volume of daily trading of three major institutional investors on Taiwan stock momentum. To develop feasible investment strategies that best match update motion, a small-sample based test, a Fisher Exact test, is used to investigate the cause-and-effect association of the daily net invest volumes and the variation of stock price. Empirical evidence shows that the purchases pattern of domestic institutional investors follow a rather stable trading behavior while foreign institutional investors and dealers are more likely to take random steps. An extensive simulation transaction study for all individuals stocks is developed to verify return for three major institutional investors. These simulated results reveal any invest strategies that follow purchases of foreign institutional investors at the previous day are ineffective. However, and the part of the strategy can really get a positive return based on the purchases of dealer, but the reward cannot be found by the regular and practical investment strategy. The best positive return pattern can be clearly identified through trading transaction observation of Taiwan domestic institutional investors. |
| Databáze: | Networked Digital Library of Theses & Dissertations |
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