- 期刊
- OpenAccess
反向投資策略、動能效應與均值回歸操作績效之比較：以台灣電競產業為例
A Comparison of Trading Performance among Contrariant Strategy, Momentum Effect and Mean Reversion: An Example of E-Sports Industry in Taiwan
摘要
本研究首先根據Kestner (2003)之反向操作策略，利用2010 年6 月24 日至2016年8 月20 日的1524 個台灣主要電競遊戲個股的日交易資料，以程式交易模擬100-Day股價背離後回歸平均値之操作績效，惟卻無法獲得正報酬，其次，根據Kestner (2003)新思路投資組合中獲利最佳之Kestner 移動平均系統之交易策略，採用當日收盤與20和80 天移動平均動能突破之特性，實證結果顯示: 在2013 年11 月1 日至2016 年8月20 日的34 個月期間，獲得36.1%的正報酬。本研究進一步利用Granger 因果關係，選出領頭羊的個股華碩(2357)，運用二家對應公司股價背離後回歸平均値的程式交易，淨利增幅為20.38%，優於大盤之7.7%，說明此程式是可以獲利的，換言之，台灣電競遊戲的市場不符合效率市場條件，此一技術分析參數背後所代表的操作策略是有利可圖的，投資人可以運用領頭羊公司與對應公司價差之回歸平均值的特性，在金融市場增進操作績效。
並列摘要
Adopting the contrariant strategy of Kestner (2003)-difference from 100-Day moving average, we cannot use stock price deviation to make abnormal returns from the e-sports industry in Taiwan, for the period 2011.11.30~2016.7.25. And following Kestner's moving average system, prices rally above the 20-day and 80-day moving average of highs, the results show that the strategy of momentum effect is profitable for the period 2013.11.1~2016.8.20. The net profit grows by 36.1%. Furthermore, this study adopts Granger causality and program trading to test the stock price mean reversion of ASUSTEK COMPUTER INC. among the e-sports companies. The net profit is 20.38% during this period. The results show that the technical analysis tested in this study can lead to trading profits and investors can increase their trading profits based on the mean reversion characteristic of company price differences.