投資者情緒對期貨市場動能投資策略的影響

本研究根據過去累積報酬率、過去累積交易量以及過去與現貨價格相關性的分組依據和分成10組與5組的分組方式得到不同的動能報酬率，並使用所得到具有顯著動能效果的報酬率與選擇權相關之投資者情緒代理變數VIX (波動度)、PCV (賣買權交易量比)以及PCO (賣買權未平倉量比) 等作迴歸分析，了解投資者情緒是否對個股期貨市場的動能報酬率有影響。研究結果顯示依據過去累積報酬率的動能效果只有在形成持有期極短時發生，與VIX有顯著負向關係；依據過去累積交易量的動能效果受到投機者的影響且存在於形成持有期間較長時，不受VIX、 PCV以及PCO的影響；依據與現貨價格的相關性的動能效果受到避險者的影響，兩組發生在不同的形成持有期且與VIX、PCV以及PCO有顯著正向、負向以及正向關係。

關鍵字

動能投資策略；投資者情緒

並列摘要

In this study, we use the grouping that depending on the past cumulative returns, the past cumulative trading volume and the correlation with spot price and the grouping method that forming observations to 10 groups and 5 groups to get momentum investing strategies. We use the obtained momentum returns to do regression analysis with investor sentiment proxies like VIX (volatility), PCV (put/call ratio of trading volume) and PCO (put/call ratio of open interest volume), and realize whether the investor sentiment is effective on the momentum returns in individual stock futures markets. The empirical study shows that the momentum effect based on the past cumulative returns only occurs when the holding period is extremely short, has a significantly negative relationship with VIX. Based on the past cumulative trading volume, momentum effect is influenced by speculators and existed in the long period of forming and holding, which is nonsignificantly related to VIX, PCV and PCO. The momentum effect based on the correlation with spot price is affected by the hedgers. The two groups occur in different forming and holding periods. The former group is significantly positive, negative and positive with VIX, PCV and PCO.