A Comparative Study of Higher Order Moments Momentum Strategy between Cross-Straight Markets-Applications of Rachev VaR Coefficient

Autor: YANG XIN RUI, 楊心蕊
Rok vydání: 2015
Druh dokumentu: 學位論文 ; thesis
Popis: 103
The purpose of this study is to investigate the appropriate momenta strategies between Taiwan and Mainland China stock markets under different stocks’ higher-order moments and bull/bear market conditions. Based on Rachev et al. (2007) method, this study utilizes cumulative return (CUMR), Sharpe ratio (SHR), stable-tailed adjusted return ratio (STARR), and Rachev ratio (RR) as investment criteria. This study adopts SAS 9.4-IML programming language for investment simulation. The data ranges from 1998/7 to 2014/6. Specifically, the numbers of simulated firms are 476 firms in 1998/7 to 1,498 firms in 2014 for Taiwan, and 910 firms in 1998/7 to 2,506 firms in 2014 for Mainland China (including Shang Hai and Shen Zhen markets). The research design includes investment criteria, winner/loser, formation and holding periods, moving window and overlapping, Geometric Brownian Motion (GBM), VaR significance levels, bull/bear conditions, and stocks’ higher-order moment quadrants. The research findings are summarized as follows: (1) Without the consideration of bull/bear conditions and higher-order moment quadrants, the best investment strategies for both markets are RR ratio - momentum strategies, i.e., buy the winners. (2) Under 4 higher-order moment quadrants, the best investment strategies for both markets are RR ratio - momentum strategies, i.e., buy the winners. (3) Under 2 bull/bear conditions, the best combination of investment strategies for Taiwan is the losers portfolio, bear market, and investment criteria #1(CUMR). The best combination of investment strategies for Mainland China is the winners portfolio, bull market, and investment criteria #4(RR ratio). (4) Under 2 bull/bear conditions and 4 higher-order moment quadrants, the best investment strategies for Taiwan market is the momentum strategy in bull period and contrarian momentum strategy in bear period. For Mainland China, nevertheless, could use the momentum strategy in both bull or bear periods.
Databáze: Networked Digital Library of Theses & Dissertations
Externí odkaz: