An Empirical Research on the Effectiveness of Investment Strategy of Buying Limit-Up

Huan-Ming Xiao

《管理科學與統計決策》 10卷3期 (2013/09) Pp. 28-35

https://doi.org/10.6704/JMSSD.2013.10.3.28

並列摘要

The existing researches on momentum effect mostly focused on the effectiveness of medium term and long term, which barely involve the ultra short-term momentum investment strategy, especially the investment strategy of buying limit-up. This paper examines the effectiveness and affecting factor of investment strategy of buying limit-up, taking transaction costs into consideration. The result indicates that the expected revenue of buying limit-up is negative in most cases, but it is distinctly positive when the volume of transaction is shrinking, or the stock hit limit-up at 9.25 a.m. As for the affecting factor, the large scale firms, strong market, the first hitting limit-up lately and lower volume of transaction can raise the expected revenue of buying limit-up.

並列關鍵字

Buying Limit-up ； Momentum Effect ； Expected Revenue

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