- 學位論文
考慮市場磨擦之價格與成交量交易策略
Price and Volume Trading Strategy with Market Frictions
摘要
本文以台灣50指數之50檔成份股日交易資料建構價格或成交量交易策略，並在考慮交易成本與交易限制下，參考Jegadeesh and Titman（1993）的方法，建構可行之交易策略，其所選取資料期間為1996年7月2日至2005年6月30日。 實證結果發現，在不考慮交易成本下，價格投資策略在極短期內的持有期間下，採用逆勢策略可獲得顯著大於零的平均報酬；在成交量投資策略中，「買高週轉率賣低週轉率」的策略其平均報酬優於「買低週轉率賣高週轉率」，但投資績效並不顯著，說明台灣市場存在「量增價漲量縮價跌」的現象。在考慮交易成本但不考慮取整限制下，不論是價格策略或是成交量策略，在越短期持有期下，交易成本所產生的影響越顯著，而隨著持有時間越長，則交易成本的所帶來的影響相對越小，且可發現在台灣市場的交易制度下，賣空投資組合擁有較高的交易成本。而在考慮交易成本與取整限制下，價格交易策略採行順勢策略時，取整對於投資組合的績效影響較小；而在成交量交易策略下，取整效果則會使「買進高週轉率賣出低週轉率」投資策略的平均報酬大多降低。當以不同投資組合分析交易策略對投資績效的影響，發現不論在價格交易策略或是成交量交易策略下，投資組合包含愈多檔股票時，其平均報酬率皆變的較小。而考慮不同資金大小在取整限制時，不同投資金額下取整的效果並不會隨檢定期愈長而愈明顯。
並列摘要
This study analyzes portfolio strategies based on the approaches of Jegadeesh and Titman (1993); besides, we build price or volume trading strategies with market frictions and use daily data of TSEC Taiwan 50 Index Constituents from July, 2nd,1996 to June, 30th, 2005. Our result finds that when we do not calculate trading costs, the contrarian strategies constituted on the basis of former returns of individual stock generate significant positive returns in the extreme short-term. And in the volume investment strategy, we find that our better performance is to buy stocks with relative higher-turnover in the past and sell that with relative lower-turnover in the past simultaneity, which expresses the positive relation between price and volume in Taiwan stock market. However, price or volume strategies perform the worst after trading costs. As the holding periods are shorter, the trading costs have more significant impact on returns, and would have higher trading costs when we short portfolios. In addition to trading costs, we consider that round-lot restriction in trading stocks and it would have small impact on the momentum strategies that constituted on the basis of former returns of individual stock. Besides, round-lot restriction in trading stocks would drop the return of volume investment strategies when we buy stocks with relative high-turnover in the past and sell that with relative low-turnover in the past simultaneity. Additionally, we test whether different investment constituents of portfolios could influence the performance of trading strategies. We find that the more stock investment constituents of portfolios have, the worse trading strategies performance are. As considering different capital in the rounding-lot restriction, the rounding error would not more significant when the holding periods increase.