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    ASIA unversity > 管理學院 > 財務金融學系 > 期刊論文 >  Item 310904400/9926


    Please use this identifier to cite or link to this item: http://asiair.asia.edu.tw/ir/handle/310904400/9926


    Title: The intraday performance of contrarian?strategies: Evidence from the Taiwan Stock Exchange
    Authors: Wang, Kuei-yuan;Su-Chun Peng;Yen-Sheng Huang
    Contributors: 財務金融學系
    Keywords: Contrarian strategy;intraday;Taiwan stock market
    Date: 2009
    Issue Date: 2010-06-08 13:53:40 (UTC+8)
    Publisher: Asia University
    Abstract: This paper examines the intraday performance of contrarian strategies using data from 438 listed stocks on the Taiwan Stock Exchange in 2004. The results indicate significantly positive abnormal returns for the contrarian strategies. For the whole trading day, the contrarian strategies earn an average abnormal return of at least 0.18% for all strategies, and above 0.3% in 24 out of the 36 contrarian strategies prior to transaction costs. Moreover, the contrarian profit increases from a formation period of five minutes to 10 minutes, and then declines toward a longer formation period of 60 minutes. This pattern suggests that price reversals occur around 10 minutes into the formation period. The intraday analysis also indicates that the abnormal returns earned by the contrarian strategies are higher in the opening and the closing intervals than in the middle of the trading day. Finally, the results indicate that price reversals occur for both prior losers and prior winners, with prior winners experiencing larger price reversals than prior losers when the holding period becomes longer. However, the above results of profitable abnormal returns are based on gross returns before transaction costs were deducted. When reasonable explicit trading costs are considered, none of the 36 contrarian strategies produce any "free lunches" for investors.
    Relation: Review of Pacific Basin Financial Markets and Policies 12(4):655-674
    Appears in Collections:[財務金融學系] 期刊論文

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