- 學位論文
考慮時間間隔之台灣股市動能策略研究
Taiwan Stock Market Momentum Strategy Considering Time
摘要
本研究以Jagadeesh and Titman（1993）的研究架構為基礎，探究在動能策略下的投資風格。以2001年1月1日至2012年12月31日間台灣證券交易所之上市公司的日資料為研究對象，從台灣經濟新報資料庫（TEJ）取得個股每日的股票報酬率進行驗證；Novy-Marx（2012）在形成期和持有期之間分別加入間隔期，研究發現策略的獲利能力較Jagedeesh and Titman（1993）的傳統動能策略效果更佳。因此本文加入了間隔期應用在台灣股市上。 結果顯示，使用間隔方式建立的動能投資組合，在形成期後間隔40天的投資組合，高達70%的投資組合可獲得正報酬，相較於傳統的動能策略僅有45%的投資組合獲得正報酬。在傳統的動能策略未發現反向策略，但是在間隔期為180天的情況下，高達72%的投資組合產生顯著負報酬，若改用反向投資策略，反向投資的利潤更甚於動能獲利。
並列摘要
This study explores investing style in the frame of momentum strategy proposed by Jegadeesh and Titman(1993). The sample comprises firms listed on the TSEC over 1 January, 2002 to 31 December, 2012. Daily data including stock return is derived from TEJ database. In addition,folling Novy-Marx(2012). Between the formation period and the holding period, were added at interval period. Empirical results show use period interval way to build momentum portfolio, after the formation period of a 40 day interval of investment portfolio, Get up to 70% significant positive return. Compared to traditional momentum strategy only 45% of the investment portfolio to get positive returns.Not found in the traditional reverse momentum strategy strategy, when the formation period of a 180 day interval period of investment portfolio, Get up to 72% significant negative return. If you change the use of contrarian investment strategy, the empirical results show the contrarian strategy is stronger than momentum strategies.