Yensen Ni

Do variable length moving average trading rules matter during a financial crisis period

When analysing the data periods including the pre-financial and financial crisis periods, the results show that investors might make profits by using Variable Length Moving Average (VMA) trading rules as buying signals rather than as selling signals shown for the Brazil, Russia, India and China (BRIC) stock markets. However, investors may find it difficult to make profits in a financial crisis period, suggesting that more detailed information should be investigated, since the significant results shown during the full period might not reveal the differences between the pre-financial and financial crisis periods.

The Microstructure of the Price-Volume Relationship of the Constituent Stocks of the Taiwan 50 Index

Due to data concerns, the microstructure of the price-volume relationship is seldom explored in Taiwan. Through efforts to collect the data, we reveal two impressive findings to contribute to the literature. One is that declining share prices are followed by a burst in volume, especially at market close. The other is that total trading volume increased by foreign institutions boosts subsequent returns, whether the trading volume is increased by buying or selling. Both results are barely disclosed in previous studies.

Momentum in the Chinese Stock Market: Evidence from Stochastic Oscillator Indicators

ABSTRACT We explore whether investors earn profits through the use of stochastic oscillator indicators (SOI) for trading stocks. The results reveal that investors might use momentum strategies when trading constituent stocks of SSE 50 as the overbought trading signals emitted by SOI. We infer that the results might be caused by herding behaviors of Chinese investors since overoptimistic moods are likely to exist as evidenced by the 80 percent trading volume traded by individual investors in the Chinese stock market.

Convertible bonds issued in the bear market period: evidence from Taiwan

We argue that the behaviour of enterprises might be modified or even changed completely after black swan events occur. We explore why high-tech firms preferred to issue convertible bonds in 2001–2003, the bear market period after the tech bubble in Taiwan. We show that firms issuing convertible bonds are those with low directors’ holding ratio and high debt ratio. Results also reveal that corporate governance was worse in the firms that issued convertible bonds, as revealed by the finding that the directors’ holding ratio of these issuing firms declined considerably. This finding also implies that corporate governance issues become more serious after black swan events.

Foreign Institutional Investors, Shareholding Change, and Corporate Governance

ABSTRACT By exploring the factors that affect the shareholding change of foreign institutions, we find that corporate governance and financial issues may not be related to the shareholding change of foreign institutions. We employ censored panel data models focusing on either positive or negative samples in terms of the shareholding change of foreign institutions; results reveal that corporate governance and financial performance are related to the shareholding change of foreign institutions for positive samples instead of negative samples, which is similar to the finding that results might not be the same for low quantile or high quantile estimation by using quantile regression models. This concern seems rarely examined in the relevant literature.

Are investors’ portfolios enhanced by incorporating CTA index funds?

By exploring the CTA index with other representative indices across stock, bond, currency, futures, oil, gold and commodity markets, we reveal several impressive findings for the CTA index. First, an upward trend exists for the CTA index without obvious drops. Second, a lower correlation is shown between the CTA index and each of these indices without exceptions. Third, neither causality nor cointegration is revealed as well. The findings revealed above seldom coexist for other financial commodities, implying that investors are able to enhance their portfolios by incorporating CTA index funds according to the portfolio selection proposed by Markowitz (1952).

Do Implicit Phenomena Matter? Evidence from China Stock Index Futures

The CSI 300 Futures Index (CSI300F) rises (falls) implicitly in five consecutive minutes; this rise (fall) is defined as the implicit rising (falling) phenomena in this article. Owing to big data concerns, the authors explore whether investors would profit when the implicit rising (falling) phenomena occur—events that exist in practice but remain unexplored in the literature. In this study, they reveal that implicit rising (falling) phenomena might trigger the rise (fall) of the CSI300F which implies that momentum strategies may be appropriate for trading the CSI300F as the implicit phenomena occurs. The authors suspect that implicit phenomena could be an indication of manipulation of investors with market force or insiders. Thus, they argue that investors should consider these results when trading index futures.

The Performance of Bond Funds SelectedConcerning Individual Investors’ Behaviors

The article investigates the performance of bond funds including the composite, high-yield, and emerging market bond funds accounted for more than 60% of the bond funds sold in Taiwan. We screen these funds by taking the preference, budgeting, and strategy concerns related to individual investors’ behaviors into account. By employing the math combinations to meet with the above concerns, the results reveal that employing the contrarian strategy is more appropriate for investing these bond funds. Although we argue that individual investors indeed would take these concerns for mutual fund investments, this study, to the best of our knowledge, would contribute the literature by proposing the math combinations in connection with various concerns related to investors’ behaviors, which is uncovered in the relevant studies.