以台灣股票市場日交易資料建構之動量投資策略績效分析

Taiwan Stock Market that Uses Daily Data to Evaluate Momentum Investment Strategy Performance

陳俊中(Chun-Chung Chen)

指導教授 ： 林蒼祥

共同指導教授 ： 顧廣平(Kuang-Ping Ku)

淡江大學/商學院/財務金融學系碩士班/碩士(2006年)

https://doi.org/10.6846/TKU.2006.00748

摘要

長久以來，財務學界與業界一直相信過去股票的價和量能夠提供價值的資訊，但是如何精確處理與解釋這些價與量資訊仍未見詳細。因此，本研究使用台灣股市日交易資料，並以台灣證券交易所及中華民國證券櫃檯買賣中心1996年6月30日至2005年6月30日間上市、上櫃之普通股為研究對象評估各種價與量的交易策略之績效。
實證結果發現，在研究期間內台灣股票市場並不是效率市場，投資人確實可以透過各種不同的動量投資策略來獲取異常報酬。本研究利用日報酬資料實證發現，台灣股票市場存在極短期可獲利之間單價格動量投資策略，且以買進過去週轉率較低的個股，並同時賣空過去週轉率較高的個股之投資策略可以獲得顯著異於零的報酬。
而以價格與週轉率建構之二維動量交易策略實證結果可以發現，在低週轉率時，可獲利之價格動量投資策略(R5-R1)為一極短期的投資策略；在高週轉率時，價格動量投資策略為一極短期(一個月以內)或中期(半年以上至一年以內)的投資策略。另一方面，週轉率投資策略(T1-T5)不論在輸家組合或是贏家組合，幾乎所有投資策略都有正的平均報酬。最後，本研究也發現，動量生命週期論之早期動量策略的投資績效在台灣股票市場比晚期動量投資策略為佳。
本研究嘗試以風險與市場摩擦解釋上述投資策略之異常報酬，但是實證結果發現，風險並非做為解釋投資策略異常報酬的唯一原因，顯示台灣股票市場上依然存在其他可以解釋投資策略異常報酬的因子。而在市場摩擦方面，所有投資策略在扣除證券交易稅、券商手續費及買賣股票所需之資金成本後，其日平均報酬都明顯下降，但是依然存在易於零之報酬，因此市場摩擦也不能完全解釋價量投資策略為何存在異常報酬。

關鍵字

交易策略 ； 日交易資料 ； 風險 ； 交易成本

並列摘要

Financial academics and practitioners have long recognized that past price and volume may provide valuable information about a stock. But how price and volume information should be handled and interpreted is not clear. Therefore, using daily data from Taiwan Stock Exchange Corporation and listed on the R.O.C Over-The-Counter Securities Exchange from June. 30. 1980 to June. 30. 2005. This research wishes to evaluate the performance of various price and turnover trading strategies.
Empirical results suggest that Taiwan stock market is not an efficient market. The results find that better performance of simple momentum strategy (winner minus loser) is in the extreme short-term. Specifically, we find better turnover investment strategy performance is buying stocks with relative low-turnover in the past, and at the same time, sells that with relative high-turnover in the past.
The results also find turnover investment strategy performance that constituted on the basis of former returns of individual stock and momentum investment strategy performance that constituted on the basis of former turnover of individual stock. Turnover investment strategy performance has good performance in both winner and loser. In high-turnover stock, momentum investment strategy has better performance in extreme short-term and middle-term. In low-turnover stock, turnover investment strategy has better performance in extreme short-term. Finally, we can find that “early stage”momentum strategy outperforms “late stage” momentum strategy in Taiwan stock market.
we suggest two potential explanations for abnormal profits of these strategies：Risk and Market Frictions. We find that risk and market friction are both not good reasons to explain the abnormal profits of these strategies.

並列關鍵字

Momentum Trading Strategy ； Daily Data ； Risk ； Market Frictions

參考文獻

1.杜金龍，1998，「技術指標在台灣股市應用的訣竅」，投資高手系列(21)，金錢文化企業股份有限公司。

14.Ahmet, B and C. Nusret, 1999, “Do Markets Overreact? International Evidence,” Journal of Banking and Finance, Vol.23, pp.1121-1144.

16.Ball, R., S. P. Kothari, and J. Shanken, 1995, “Problems in Measuring Portfolio Performance: An Application to Contrarian Investment Strategies,” Journal of Financial Economics, Vol.38, pp.79-107.

17.Basci, E., S. Ozyidirim and K. Aydogan, 1996,“A Note on Price-Volume Dynamics in an Emerging Stock Market”, Journal of Banking and Finance, Vol.20, pp.389-400.

18.Campbell, J. Y., Grossman, S. J., and Wang, J., 1993, “Trading Volume and Serial Correlation in Stock Returns”, Quarterly Journal of Economics, Vol.108 (4), pp.905-939.