動能及反向投資策略在指數期貨市場的投資成果

Momentum and Contrarian strategies in index futures markets

陳彥君(Yen-Chun Chen)

指導教授 ： 張焯然

國立清華大學/科技管理學院/科技管理研究所/碩士(2008年)

https://doi.org/10.6843/NTHU.2008.00571

摘要

本論文在探討長短期運用動能及反向投資策略，在指數期貨的獲利情況，動能投資策略指的是買入在最近的過去表現較好的各國指數期貨，賣出表現較差的；反之反向投資策略則是買入在最近的過去表現較差的各國指數期貨，賣出表現較好的，同時搭配不同長短期的資訊期間及持有期間，進一步分析這84種投資策略的獲利情況。其結果發現，動能投資策略在時間為1-12個月的期間較容易出現獲利，而反向投資策略在持有時間為18個月以上的狀況，較容易出現獲利。除此之外，我們也將分析其獲利來源是否源自於所承擔的風險，亦或會出現異常報酬。

關鍵字

動能投資策略 ； 反向投資策略 ； 指數期貨

並列摘要

The article tests for the performance of momentum and contrarian strategies in index futures contracts. The momentum strategies buy the index futures that outperformed in the recent past, sell the index futures that underperformance. On the contrary, the contrarian strategies buy the index futures that underperformance in the past, sell the index futures that outperformed. Then we combine different information period and holding period, and examine the profitability of 84 strategies. As the result, we find that momentum strategies are profitable over horizon from 1 to 12 months, while contrarian strategies are profitable for long horizons as 18 months or longer. Besides that, the study also analyzes the source of the profitability. Would the strategies consist the abnormal return.

並列關鍵字

momentum strategies ； contrarian strategies ； index futures

參考文獻

Antoniou, A., H. Y. T. Lam, and K. Paudyal, 2007, “Profitability of momentum strategies in international markets: The role of business cycle variables and behavioural biases,” Journal of Banking and Finance 31, 955-972.

DeBondt, W. F. M., and R. H. Thaler, 1985, “Does the stock market overreact?” Journal of Finance 40, 793-808.

Jegadeesh, N., and S. Titman, 1993, “Returns to buying winners and selling losers: implications for stock market efficiency,” Journal of Finance 48, 65-91.

Jegadeesh, N., and S. Titman, 2001, “Profitability of momentum strategies: an evaluation of alternative explanations,” Journal of Finance 56, 699-720

Lin, C. H., H. T. Lee and J. H. Tsao, 2007, “Does the market overreact? An Empirical Study on the Momentum and Contrarian Strategies of Taiwan Stock Market,” Journal of Business Administration 72, 95-118.