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Making Excess Profit by Market Efficiency Difference: A Study on ADR Spread Trend Trading Strategy
Date Issued
2009
Date
2009
Author(s)
Yeh, Hsin-Liang
Abstract
Market efficiency has become a popular subject since Fama’s effiency market hypothesis in 1970, and it means how fast a market can respond to all information whether it is known by public or not. The difference of market efficiency may come from investor structure, regulation of government or law, technology, etc. This paper would establish a trading strategy from the difference of market efficiency, and we focus on ADR (American Depositary Receipts) spread because it can represent pure efficiency difference. ccording to our research, we find it can forecast the domestic stock change by observing the spread of ADR and domestic stock, and the concrete trading strategy is “ using ADR spread moving average lines to find out the buy or sell timing”. The trading strategy is applied to TSMC (Taiwan), UMC (Taiwan), Siliconware (Taiwan), SONY (Japan), TOYOTA (Japan), to see if it can make excess profit.he research result shows the trading strategy can bring excess profit in most companies except TOYOTA. So it means we can use market efficiency difference to make excess profit, and the difficulty of investment is kowered hugely because we don’t need to pay attention to fundmental analysis.
Subjects
Efficient Market
Price Discovery
ADR
Trading Strategy
Excess Profit
Type
thesis
File(s)
No Thumbnail Available
Name
ntu-98-R96741008-1.pdf
Size
23.32 KB
Format
Adobe PDF
Checksum
(MD5):0714393e542cd5d0a4619d2fe354c9c2