結合動能與停損策略的投資有效性研究：台灣股市實證

本文主要探討結合動能投資策略與停損策略於台灣股市的投資有效性，以2003年至2020年台灣上市櫃股票為樣本，參考Jegadeesh and Titman（1993）的方法，建立不同形成期與持有期的動能投資策略，實證結果發現樣本期間台灣股市不存在動能效應。之後加入停損策略，分別以7%、10%及15%作為停損幅度，設置2個停損點，當贏家股票組合下跌或輸家股票組合上漲至一定幅度時，平倉該部位並將資金買進無風險資產。實證結果顯示，結合停損策略後的動能投資策略可以獲得顯著的正報酬，並以加入7%停損幅度的投資策略之績效為最佳，同時平均報酬率也能擊敗大盤。本研究進一步分析動能投資策略的下方風險，比較加入停損策略前後的單月報酬率，發現在加入停損策略後，能有效的控制動能投資策略的下方風險並降低損失。

關鍵字

動能投資策略；反轉；停損策略；投資策略；下方風險

並列摘要

This paper intends to investigate the effectiveness of combining momentum investment and stop-loss strategies in Taiwan stock market. Based on Jegadeesh and Titman (1993)methodology, the study takes all listed TSE and OTC stocks from 2003 to 2020 in Taiwan, and establishes momentum investment strategies with different formation and holding periods. The initial empirical results found that there was no momentum effect in the Taiwan stock market during the sample period. Then a stop-loss strategy is added by adopting 2 stop-loss margins in 7%, 10%, and 15%, respectively. When the winner's portfolios fall or the loser's portfolios rise to a certain level, the simulation would close the position and buy the funds into risk-free assets. The final empirical results show that the momentum investment strategies combined with the stop-loss strategy could obtain significant positive returns, and the investment strategy with a 7% stop-loss margin has the best performance, while the average simulated returns could also outperform the market returns. This study further analyzes the downside risks of the momentum investment strategies, and compares the monthly returns before and after the stop-loss strategies. The findings show that after adding the stop-loss strategies, the downside risks of the momentum investment strategies could be effectively controlled and potential losses could be avoided.