季節性動量策略之研究－以台灣上市公司為例

A Relationship Study between Seasonal Pattern of Stock Returns and General Momentum Strategies－Evidence from Listed Companies in Taiwan

陳巧純(Chiau-Chun Chen)

指導教授 ： 梁世安 ； 古永嘉

國立臺北大學/商學院/企業管理學系/碩士(2009年)

摘要

本研究目的主要探討短期報酬的可測性，即探討各形成月份的投資組合於未來1至12月份單一月份持有的個別及累計報酬的投資績效。收集1998年至2007年共311家上市公司的月報酬資料，而研究設計除了所有股票外，亦將所有股票分為電子業及非電子業兩個產業別市場。在這三個分類下，分別以滾動式地將每月報酬排序形成贏家、輸家組合進行短期投資策略，再以單一t檢定驗證月份季節性及成對t檢定驗證季節動量效果。實證結果發現存在特定月份季節性，即股票市場(所有股票)及非電子業存在每年一月份最高報酬、十二月份次高報酬現象，而電子業則存在三月、十一月高報酬及四月負報酬現象，但是季節動量策略皆不顯著，表示不存在「強者恆強，弱者恆弱」的現象，故不宜使用追漲殺跌的策略來套利。藉由這些月份效果可決定出各月份贏家、輸家組合的簡單投資買賣策略，即在各形成月份運用贏家、輸家投資組合標的在特定預測月份會有最高報酬來提高獲利性，亦可藉由累計報酬來判斷連續持有期長短。

關鍵字

季節性,月份效果,動能策略,可測性

並列摘要

The main point of our research is to investigate the predictability of short-term stock returns. We form winners and losers portfolios for every calendar month to invest in the following and every single one to twelve month and then calculate the performance and cumulated returns of our portfolio strategies of every holding month. Our sample are monthly returns of 311 TWSE-listed firms over the years 1998-2007. Beside all stocks, we categorize all stocks to classification of IT industry and non-IT industry. In every market, we ranked returns for every month to form winners and losers portfolios to use short-term investment strategies and applied t-test and paired t-test to test monthly seasonality and seasonal momentum strategy individually. The empirical analysis shows that there exist the highest return in January and secondly-high return in December in all-stocks market and non-IT industry classification, and there are relatively high return in March November and negative return in April in the IT industry, but all seasonal momentum strategies of specific seasonal month are not statistically significant. It means that there doesn’t exsist “ the stronger always the winners , the weaker always the losers” phenomenon. According our results, it shouldn’t use momentum strategies to arbitrage in this way. By these effects of month, we can decide the simple buying or selling investment strategy of winners and losers portfolios of every month. So using winners and losers portfolios for every ranking month in the specific predicted holding month can improve the investment performance and we can also use the cumulated returns to decide how long the continuous holding period of portfolios for every ranking month should be.

並列關鍵字

Seasonality, the Effect of Month, Momentum, Predictability

參考文獻

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