CAN OPENING PRICES CREATE VALUE FOR INVESTORS?

Tsung-Hsun Lu ； Yi-Chi Chen ； Jinji Chen

《Advances in Financial Planning and Forecasting》 7期 (2016/10) Pp. 209-224

https://doi.org/10.6292/AFPF.2016.07.10

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.

關鍵字

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

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