雖然效率市場以及效率市場假說長久以來在全球金融市場扮演著極為重要的角色，但是近年來這個議題似乎呈現沒有共識，甚至是不同的看法。經由過去文獻的探討，我們發現有許多其他的假說及方法，例如投資人過度反應及技術分析，都一再地挑戰效率市場假說；因此，我們認為股價連續上漲(下跌)或牛市(熊市)訊號出現，都可能發生因為投資人情緒被刺激而導致的羊群效應，或是起因於股價過度反應而產生的價格反彈現象。

在本篇研究中，我們探討當股價連續上漲(下跌)或牛市(熊市)訊號出現時的交易策略，而這個議題在過去的文獻中似乎很少，甚至未曾被研究過，藉由運用DJ 30、FTSE 100及SSE 50三個指數的成份股，從2009年到2013年之間的股價資料做為研究樣本，我們發現當股價連續下跌或熊市訊號出現時，反向操作是相當適當的交易策略，而本篇研究的結論也提供投資人有用的資訊，可以做為進行股票交易時的參考。

Although market efficiency and efficient market hypothesis have been widely explored in the financial markets, it seems to be without consensus, even having divergent viewpoints on this topic in recent years. After surveying the previous literature, we find that other hypotheses, such as overreaction and technical analysis, could have challenged the efficient market hypothesis. Thus, we deduce that either continuous rising (falling) share prices or continuous bullish (bearish) candlesticks released might result in either herding behaviors due to investors’ sentiments being stimulated or stock prices rebounded because of stock price overreaction. 

In this dissertation, we contribute to investigate the trading strategies when either continuous rising (falling) prices or continuous bullish (bearish) candlesticks emitted, which seems to be rarely explored, even unexplored, in the existing literature. By using the samples of constituent stocks of DJ 30, FTSE 100, and SSE 50 during the period of 2009 to 2013, we suggest that contrarian strategies are suitable when continuous falling prices or bearish candlesticks are emitted. The findings should provide investors helpful and valuable references for trading strategies in the financial markets.

Contents ………………………… I
List of Tables ………………………… II
List of Figures ………………………… III
Chapter 1 Introduction ………………………… 1
Chapter 2 Literature review ………………………… 6
2.1 Market efficiency and market inefficiency ………………………… 6
2.2 Trading strategies ………………………… 9
2.2.1 Momentum strategies ………………………… 10
2.2.2 Contrarian strategies ………………………… 11
2.3 Trading behaviors ………………………… 13
2.3.1 Positive-feedback behaviors ………………………… 13
2.3.2 Herding behaviors ………………………… 14
2.3.3 Candlesticks trading behaviors ………………………… 16
Chapter 3 Methodology ………………………… 20
3.1 Research design ………………………… 20
3.2 Modelling ………………………… 22
3.3 Data collection ………………………… 23
Chapter 4 Empirical results and analysis ………………………… 27
4.1 Continuous rising prices and bullish candlesticks ………………………… 27
4.2 Continuous falling prices and bearish candlesticks ………………………… 29
4.3 Robustness analysis ………………………… 32
4.3.1 The bear market period 2007-2008 ………………………… 32
4.3.2 Out-of-sample period 2014-2016 ………………………… 35
4.3.3 Other markets ………………………… 37
Chapter 5 Conclusion ………………………… 40
References ………………………… 43

List of Tables
Table 3-1 Summary statistics ………………………… 24
Table 3-2 Samples of continuous rising (falling) prices ……………… 26
Table 3-3 Samples of continuous bullish (bearish) candlesticks ………… 26
Table 4-1 CARs of continuous rising prices ………………………… 28
Table 4-2 CARs of continuous bullish candlesticks ………………………… 28
Table 4-3 CARs of continuous falling prices ………………………… 30
Table 4-4 CARs of continuous bearish candlesticks ………………………… 30
Table 4-5 CARs of continuous rising prices and bullish candlesticks (2007-2008) ………………………… 33
Table 4-6 CARs of continuous falling prices and bearish candlesticks (2007-2008) ………………………… 34
Table 4-7 CARs of continuous rising prices and bullish candlesticks (2014-2016) ………………………… 35
Table 4-8 CARs of continuous falling prices and bearish candlesticks (2014-2016) ………………………… 36
Table 4-9 CARs of continuous rising prices and bullish candlesticks (2009-2013) ………………………… 38
Table 4-10 CARs of continuous falling prices and bearish candlesticks (2009-2013) ………………………… 39

List of Figures
Figure 2-1 Bearish candlestick and bullish candlesticks ……………… 17
Figure 3-1 Framework of this research ………………………… 22
Figure 3-2 Trends of DJ 30, FTSE 100, and SSE 50 indices from 2009 to 2013 ………………………… 24
Figure 4-1 Trends of KOPSI 50 and TW 50 indices from 2009 to 2013 ………………………… 37

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