Be greedy when others are fearful: Evidence from a two-decade assessment of the NDX 100 and S&P 500 indexes
學年 112
學期 1
出版（發表）日期 2023-08-05
作品名稱 Be greedy when others are fearful: Evidence from a two-decade assessment of the NDX 100 and S&P 500 indexes
作品名稱（其他語言）
著者 Ni, Yen-sen
單位
出版者
著錄名稱、卷期、頁數 International Review of Financial Analysis 90,　102856
摘要 This study explores the profitability of trading range breakout (TRB) trading rules and commonly used moving average (MA) trading rules in the NDX 100 and S&P 500 indices. Its objective is to offer practical insights for investors who own QQQ and SPY, two popular ETFs that track these two indices. Using big data analytics, the study reveals that investors who trade and hold these two ETFs can potentially profit from using TRB instead of MA trading rules. Unexpectedly as opposed to buying signals from TRB trading rules or momentum MA trading rules, investors may obtain much higher returns by purchasing these ETFs (i.e., QQQ and SPY) as selling signals emitted by TRB rules, particularly by buying these ETFs as stock prices break below 150-day low and 200-day low, a situation in which many investors may experience panic due to the continuously falling share price. As such, we argue that our findings may suggest that being greedy when others are fearful (i.e., the Warren Buffett quote) is of significance to this study.
關鍵字 Profitability;TRB trading rule;Momentum strategies;Contrarian strategies;Index ETFs;Average holding period return
語言 en_US
ISSN 1873-8079
期刊性質 國外
收錄於 SSCI
產學合作
通訊作者
審稿制度 是
國別 USA
公開徵稿
出版型式 ,電子版
相關連結

機構典藏連結 ( http://tkuir.lib.tku.edu.tw:8080/dspace/handle/987654321/125118 )