從市場效率差異創造超額利潤─以ADR價差趨勢交易策略為例

Fama從隨機漫步理論推導出效率市場假說，當中論及效率市場能快速反應市場上的各種訊息，市場效率也從此成為學術界與實務界皆關心的議題。本研究的重點就是放在如何用兩地的市場效率差異來創造出交易策略並從中獲取超額利潤？以及檢驗這套交易策略的實證結果。本研究以ADR和國內現股價差為主要研究對象的原因在於兩者交易標的是相同的，可以排除標的異質性的問題，價差的變化可以大致歸因於兩地市場效率的差異，而挑選的目標就是國內發行ADR公司中最具代表性的台積電。本研究分析台積電ADR價差與現股價格連動性後，發現由於ADR所處的美國市場其效率高於現股所在的台灣市場，具有價格發現功能，所以可用ADR價差的變化來預測現股的走勢。而最終推導出來的交易策略為「運用ADR與現股價差的均線組合交叉點，創造出買賣訊號。」，本研究將其命名為ADR價差趨勢交易策略。實證結果顯示，該交易策略在台積電現股可創造出遠高於buy & hold策略的累積報酬率，但若考量到交易成本等市場限制，則超額利潤會減少，但仍舊存在。本研究也將該交易策略進一步擴大到運用聯電、矽品、SONY、TOYOTA等另外四家公司，結果證明除了在TOYOTA上未能超越buy & hold外，該交易策略運用在其他三家公司都能獲得超額利潤。上述結果顯示投資者確實能運用市場效率差異的資訊內涵，來進行投資決策的參考，而且使用這種交易策略的投資人將無需關注基本面變化，大幅減少了投資的難度。

關鍵字

效率市場；價格發現；美國存託憑證；交易策略；超額利潤

並列摘要

Market efficiency has become a popular subject since Fama’s effiency market hypothesis in 1970, and it means how fast a market can respond to all information whether it is known by public or not. The difference of market efficiency may come from investor structure, regulation of government or law, technology, etc. This paper would establish a trading strategy from the difference of market efficiency, and we focus on ADR (American Depositary Receipts) spread because it can represent pure efficiency difference. According to our research, we find it can forecast the domestic stock change by observing the spread of ADR and domestic stock, and the concrete trading strategy is “ using ADR spread moving average lines to find out the buy or sell timing”. The trading strategy is applied to TSMC (Taiwan), UMC (Taiwan), Siliconware (Taiwan), SONY (Japan), TOYOTA (Japan), to see if it can make excess profit. The research result shows the trading strategy can bring excess profit in most companies except TOYOTA. So it means we can use market efficiency difference to make excess profit, and the difficulty of investment is kowered hugely because we don’t need to pay attention to fundmental analysis.

並列關鍵字

Efficient Market ； Price Discovery ； ADR ； Trading Strategy ； Excess Profit

參考文獻

郭政良，(2006)，「價格發現模型的應用與實證：香港、澳洲與日本發行ADR為例」，台灣大學國際企業研究所碩士論文。

謝昇龍，(2006)，「台灣股票市場效率化趨勢之研究」，淡江大學企管研究所碩士論文。

鄭茵蔓，(2003)，「美國存託憑證與其標的股票網狀因果關係之研究」，台灣大學財務金融研究所碩士論文。

Alaganar, V. T. and R. Bhar, (2001), “Diversification Gains from American Depositary Receipts and Foreign Equities: Evidence from Australian Stocks,” Journal of International Financial Markets, Institutions and Money, 11(1), 97-113.

Ely, D. and M. Salehizadeh, (2001), “American Depositary Receipts: An Analysis of International Stock Price Movements,” International Review of Financial Analysis, 10(4), 343-363.

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從市場效率差異創造超額利潤─以ADR價差趨勢交易策略為例

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