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We have a range of equity stocks with corresponding options attached and we establish portfolios. Of the winners, we choose the top ten options and for the losers, we choose the bottom ten options.https://www.51lunwen.org 
Hence we have established the winner portfolios and the losers portfolios in the options market.

Ramiah et al. (2007) developed a methodology to find evidence of momentum in the options market. We will adopted this strategy and use the ASX 200 as our market proxy. From the ASX200, we will only use stocks which have a corresponding option available. Any stock that does not follow the criteria will be excluded. We will use the past five years to obtain data on the daily price movement of all the stocks with options available and also obtain data on the price movements of the options themselves. Any stocks or options that does not have a minimum of five years of data will not be used in our methodology.

Daily returns will then be calculated on the stocks and their options as follows:
Stock Return Formula
    Equation 1 
Where:
LRsi is the daily log return for stock i.
Pst is the stock return index for stock i at time t.
Pst-1 is the stock return index for stock i at time t-1.

Option Return Formula
    Equation 2  
Where:
LRoi is the daily return for warrant i.
Pot is the warrant return index for warrant i at time t.
Pot-1 is the warrant return index for warrant i at time t-1.

The equity portfolio construction is similar to that of Lee and Swaminathan (2000). Equity portfolios will be formed on a daily basis. At the beginning of each day all eligible stocks are ranked independently on the basis of past returns for the return momentum. The stocks are then assigned to two portfolios based on their returns over the past J days (where J = 1, 5, 10, 20, 30, 40, 50 and 60 days respectively). Next the portfolios are held for K days (where J = 1, 5, 10, 20, 30, 40, 50 and 60 days respectively). Returns for K-days holding period are based on equally weighted average returns of every stock in the portfolios. The extreme winner and loser deciles over the next K days and next 60 days then form the main focus. The equity momentum strategies employed here buy the winner portfolio and sell the loser portfolio for different holding and formation periods.

Jegadeesh & Titman (1993), Ramiah (2007) put forward the notion of restricted and non-restricted short selling. We know that the returns are rather significant with the unrestricted compared to the restricted short-selling of the losers portfolio. However, instead of applying short-selling for the loser portfolio, we can instead write these warrants. As such for the loser portfolios, we can write call and put options. With this idea in place, we can adopt different scenarios in which these ideas can be used.

First Scenario: In the presence of a bearish market, we will purchase the winner portfolio in the equity market and for the loser portfolio, we will be writing call options in order to obtain a premium (profit).

Second Scenario: In the presence of a bullish market, we will purchase the winner portfolio in the equity market. And for the loser portfolio, we will be writing put options in order to obtain a premium (profit).

It could be profitable or feasible to buy the winners not in the equity market but in the options market alone. There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。