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论文作者:anter论文属性:案例分析 Case Study登出时间:2010-11-30编辑:anterran点击率:15217
论文字数:5782论文编号:org201011301323267409语种:英语 English地区:澳大利亚价格:免费论文
关键词:Successful Momentum StrategiesAustralianWarrant Market
Rey and Schmid (2004) demonstrated that option-based momentum strategies resulted in negative returns. However, only a trading strategy based on ‘in-the-money’ call options in winner stocks showed higher returns when compared to the stock return strategy. They reported that a strategy using a maturity of 12 months never falls below 50% p.a. for strikes between 70% below and 30% above the prevailing stock price.
Naughton, Ramiah, Sy (2006) identified the potential to replicate momentum without the construction of arbitrage portfolios, i.e. long the winners and short the losers. Derivatives markets are generally highly correlated with the underlying markets due to pricing considerations and hence we suspect that momentum returns can be similarly identified using derivatives instead of physical stocks.
Consequently, the same method used in Naughton, Ramiah, Sy (2006) is applied here, as with the Singapore paper, however this time the momentum replication was made on Australian derivative market. This study pioneers research in an evolving area by focusing on derivative momentum. The Warrant Momentum Strategies: Evidence from Singapore working paper produced sound evidence that synthetic momentum can be achieved through trading derivative based on the outcome (i.e. winners and losers) of the underlying stock market.
This paper however goes beyond simply the returns that can be attributed to momentum in the physical stock market as explored in previously published studies. It also observes the comparison of the log-returns generated by momentum strategies in the physical market and log-returns generated by momentum strategies in the derivatives market, specifically looking at warrants in two different ways. One strategy is to replicate momentum based on long the winners and short the losers, as discussed above, and has been conducted in several studies. The other strategy is an innovative approach that has not previously appeared in the literature. This second strategy involves finding potential momentum effects on derivative market without any deliberate positions made based on the underlying physical stock market.
For this research, the Australian Stock Exchange (ASX) is chosen for several reasons. Firstly, it is one of the largest and most developed financial marketplaces, particularly in the Asia Pacific region. In terms of market capitalisation, ASX is currently the 12th largest stock market in the world with a stable political setting and sound economic fundamentals coupled with favourable business and regulatory environment. More importantly, Australia本论文由英语论文网提供整理,提供论文代写,英语论文代写,代写论文,代写英语论文,代写留学生论文,代写英文论文,留学生论文代写相关核心关键词搜索。