Exploring the Persistent Behavior of Financial Markets

Yi Cheng Tsai; Chin Laung Lei; William Cheung; Chung Shu Wu; Jan Ming Ho; Chuan Ju Wang

doi:10.1016/j.frl.2017.09.010

Exploring the Persistent Behavior of Financial Markets

Yi Cheng Tsai, Chin Laung Lei, William Cheung, Chung Shu Wu, Jan Ming Ho, Chuan Ju Wang^*

^*この研究の対応する著者

研究成果: Article › 査読

2 被引用数 (Scopus)

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This paper presents the persistent behavior hypothesis for financial markets, which is tested statistically on five stock indices from 2001 to 2014. We find significant results in all five stock markets for the full sample period as well as subperiods. A persistent behavior strategy (PBS) on index futures is also presented, the net annual returns of which are significantly higher than 15% in all futures markets including transaction costs. The best performance, about 27%, occurs in the E-mini NASDAQ 100 and TAIEX futures. We also present studies on the impact of investor behavior over market price of TAIEX futures.

本文言語	English
ページ（範囲）	199-220
ページ数	22
ジャーナル	Finance Research Letters
巻	24
DOI	https://doi.org/10.1016/j.frl.2017.09.010
出版ステータス	Published - 2018 3
外部発表	はい

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10.1016/j.frl.2017.09.010

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title = "Exploring the Persistent Behavior of Financial Markets",

abstract = "This paper presents the persistent behavior hypothesis for financial markets, which is tested statistically on five stock indices from 2001 to 2014. We find significant results in all five stock markets for the full sample period as well as subperiods. A persistent behavior strategy (PBS) on index futures is also presented, the net annual returns of which are significantly higher than 15% in all futures markets including transaction costs. The best performance, about 27%, occurs in the E-mini NASDAQ 100 and TAIEX futures. We also present studies on the impact of investor behavior over market price of TAIEX futures.",

keywords = "Index Futures, Persistent Behavior, Trading Strategy",

author = "Tsai, {Yi Cheng} and Lei, {Chin Laung} and William Cheung and Wu, {Chung Shu} and Ho, {Jan Ming} and Wang, {Chuan Ju}",

note = "Publisher Copyright: {\textcopyright} 2017 Elsevier Inc.",

year = "2018",

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doi = "10.1016/j.frl.2017.09.010",

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AU - Tsai, Yi Cheng

AU - Lei, Chin Laung

AU - Cheung, William

AU - Wu, Chung Shu

AU - Ho, Jan Ming

AU - Wang, Chuan Ju

PY - 2018/3

Y1 - 2018/3

N2 - This paper presents the persistent behavior hypothesis for financial markets, which is tested statistically on five stock indices from 2001 to 2014. We find significant results in all five stock markets for the full sample period as well as subperiods. A persistent behavior strategy (PBS) on index futures is also presented, the net annual returns of which are significantly higher than 15% in all futures markets including transaction costs. The best performance, about 27%, occurs in the E-mini NASDAQ 100 and TAIEX futures. We also present studies on the impact of investor behavior over market price of TAIEX futures.

AB - This paper presents the persistent behavior hypothesis for financial markets, which is tested statistically on five stock indices from 2001 to 2014. We find significant results in all five stock markets for the full sample period as well as subperiods. A persistent behavior strategy (PBS) on index futures is also presented, the net annual returns of which are significantly higher than 15% in all futures markets including transaction costs. The best performance, about 27%, occurs in the E-mini NASDAQ 100 and TAIEX futures. We also present studies on the impact of investor behavior over market price of TAIEX futures.

KW - Index Futures

KW - Persistent Behavior

KW - Trading Strategy

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DO - 10.1016/j.frl.2017.09.010

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VL - 24

SP - 199

EP - 220

JO - Finance Research Letters

JF - Finance Research Letters

SN - 1544-6123

ER -

Exploring the Persistent Behavior of Financial Markets

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