價格動量策略與產業動量策略之實證研究-以台股為例

The Empirical Research of Momentum Strategy and Industry Momentum-Take Taiwan’s Stock Market as An Example

鄭燁隆(Ye-Long Zheng)

指導教授 ： 羅庚辛

國立中央大學/管理學院/企業管理學系/碩士(2008年)

摘要

本研究主要的目的是探討動量投資策略與產業動量投資策略於台股之適用性與持續性。研究期間為1992年到2007年，本研究將使用不同的形成期(6個月、12個月)與持有期間來分別探討兩種投資策略的投資績效，另外也將探討在極短期下這兩種投資策略於台股的績效。
實證研究研究結果發現價格動量投資策略在中長期的形成期與持有期下，其投資績效並不顯著。但在極短期下，可以在短時間內存在顯著的異常報酬，利用極短期下檢定台股動量投資策略發現在極短期(1週、2週、4週)下，台股出現反應不足的現象，利用動量投資策略將可以獲得顯著的超額報酬。而在持有期拉長至8週後，極短期下的動量投資策略報酬將變為不顯著。
　　此外，產業動量投資策略不管是在中長期或極短期下，在台股中都具有顯著報酬，並優於動量投資策略報酬，而在經過動量報酬分析之後，可以發現產業動量效果大部分來自於贏家股而非輸家股。

關鍵字

產業動量 ； 投資策略 ； 價格動量

並列摘要

This research mainly probe into Momentum strategy and industry momentum strategy, taking Taiwan’s stock market as an example. It was 1992 16 years altogether to 2007 when the materials contained, and this study will use different formation period(6 month,12 month)
and holding period to test two different investment strategy’s efficiency in Taiwan stock market. Otherwise, we will take short term formation and holding period into account to see the efficiency.
Empirical result indicate momentum strategy has statistically significant abnormal return in the short term(1 week,2week,4week),but not in the medium term and long term. But in the short term, it shows different result. Momentum strategy has significant abnormal return in the short term, we can make abnormal return in the short term(1 week,2week,4week).But when holding period become 8 weeks , momentum effect will disappear.
In addition, either short term or medium to long term industry momentum strategy has statistically significant abnormal return in Taiwan stock market, and it is more profitable to momentum strategy. After analyze the profit , we can find that the profit of industry momentum strategy is largely come from winner portfolio not loser portfolio.

並列關鍵字

Industry Momentum ； Momentum ； Investment Strategy

參考文獻

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