動能獲利性與方向叢聚性:以新興市場和邊境市場為例

Momentum profitability and directional herding: Evidence from emerging and frontier markets

黃明江(Minh-Giang Hoang)

指導教授 ： 李瑞琳 ； 林鳴琴

朝陽科技大學/管理學院/財務金融系/碩士(2014年)

摘要

本研究探討動能獲利性與有方向的叢聚之關聯性。我分別以越南和台灣作為邊境市場和新興市場之研究對象。叢聚方向乃是根據個股相對市場的表現由小至大排序，並區分為三組，分別計算贏家和輸家在持有期間六個月之動能獲利每月平均報酬。研究結果發現，無論在越南或台灣股票市場，相對較高和相對較低有方向的叢聚族群均比相對中間族群具有相對較大且正的動能報酬。動能獲利隨著方向叢聚增加，呈現U字型現象，唯一差異在越南(台灣)市場相對較低(高)有方向的叢聚族群具有最大動能獲利。隨後，我們進一步檢驗是否存在方向叢聚異常性現象。延續Lee and Swaminathan (2000)，我們建構二投資策略，在有方向的叢聚高的族群買進贏家並賣出有方向的叢聚低的族群賣家以及在有方向的叢聚低的族群買進贏家並賣出有方向的叢聚高的族群賣家。研究發現此二種投資策略在越南和台灣股票市場均可以產生正的獲利，意謂研究結果支持有方向的叢聚異常性。最後，由於研究期間包括金融危機，本研究區分金融危機期間和非金融危機期間。我們發現有方向的叢聚之動能獲利並不受金融危機影響，具有顯著正的動能報酬。因此，我們的研究結果可以對有方向的叢聚和動能獲利提供很多有價值的寶貴建議。

關鍵字

邊境市場 ； 新興市場 ； 有方向的叢聚 ； 動能獲利 ； 叢聚異常

並列摘要

This study examines relations between momentum profitability and directional herding. We consider Vietnam and Taiwan as the frontier and emerging markets respectively. Dividing into three directional herding groups based on sorting price movements for individual stocks relative to their corresponding markets, our findings indicate that directional herding behaviors can have significantly larger positive momentum profits for extreme high (low) directional herding groups than medium group for short horizon (over 6 months) in both markets. It is interesting that there are similar U-shape patterns across different three directional groups in both markets but the largest profits for low (high) directional herding groups in Vietnam (Taiwan). Then, to test the existence of directional herding anomaly, following Lee and Swaminathan (2000), we further use the sorting criteria to reconstruct directional herding momentum strategies of buying winners with larger (smaller) than the market for extreme high (low) directional herding group and selling losers with smaller (larger) than the market for extreme low (high) directional herding group. Directional herding anomalies in above two cases in both markets are obtained. Finally, similar results for directional herding are found to be significantly larger positive momentum profits when considering global (non-) financial crisis periods. Therefore, our findings would shed more valuable insights on directional herding and momentum profitability.

並列關鍵字

Emerging market ； Directional herding ； Momentum profitability ； Frontier market ； Herding anomaly

參考文獻

Alphonse, P. and Nguyen, T.H, 2013, Momentum effect: Evidence from Vietnamese stock market, Asian Journal of Finance & Accounting, 5 (2).

Bayoumi, T., Fazio, G., Kumar, M. and MacDonald, R., 2003. Fatal Attraction: A new measure of contagion. IMF Working paper no. 03/08.

Bikhchandani, S. and Sharma, S., 2001. Herd behavior in financial markets. IMF Staff Papers, 47 (3), 279–310.

Chang, E. C. and Dong, S., 2006. Idiosyncratic volatility, fundamentals, and institutional herding: Evidence from the Japanese stock market. Pacific-Basin Finance Journal, 14 (2), 135-154.

Chang, E.C., Cheng, J.W., and Khorana, A., 2000. An examination of herd behavior in equity markets: An international perspective. Journal of Banking and Finance, 24(10), 1651–1679.