加入間隔期效果探討台灣股市動能與反向策略

Momentum & Contrarian Strategy Considering Interval Effect - Evidence from the Taiwan Stock Market

陳建葦(Chien-Wei Chen)

指導教授 ： 鄭光甫

嶺東科技大學/財經學院/財務金融研究所/碩士(2015年)

https://doi.org/10.6823/LTU.2015.00032

摘要

本研究以Jegadeesh and Titman（1993）的研究架構為基礎，以1991年1月1日至2014年6月30日間台灣證券交易所之上市公司的月資料為研究對象，藉由買進過去的贏家投資組合，賣出過去的輸家投資組合，探討台灣股市是否具有動能效果，並且是否能從動能策略中獲得超額報酬。進一步再依循Novy-Marx(2012)，形成期之期間由投資組合建構日過去一年的下半年更改成上半年，即形成期與持有期中間會有一段間隔期間，檢驗加入間隔期的動能策略是否獲得顯著的異常報酬。
實證發現利用傳統Jegadeesh and Titman (1993)動能投資策略，投資組合報酬率為正的交易策略僅為少數，而運用反向投資策略將能帶給投資人超額的報酬。進一步採取Novy-Marx (2012) 動能投資策略，形成期與持有期中間加入不同長短間隔期，其策略之投資組合顯著異常負報酬比例隨著間隔期間的增加而上升，至間隔期間為9個月，比例來到最大值，隨後大幅減少。總結台灣的股票市場中支持反向投資策略假說，且存在間隔期的Novy-Marx (2012)反向動能投資策略效果比傳統Jegadeesh and Titman (1993)反向動能投資策略效果更顯著。

關鍵字

動能策略 ； 反向策略 ； 間隔期

並列摘要

This study explores investing style in the frame of momentum strategy proposed by Jegadeesh and Titman(1993). The sample comprises firms listed on the TSEC over 1 January, 1991 to 30 June, 2014. By mean of that strategies which buy stocks that have performed well in the past and sell stocks that have performed poorly in the past. To explore whether Taiwan stock market have momentum effect, and if the use of momentum strategy would get excess returns. In addition, Intermediate horizon past performance, measured over the period from 12 to seven months prior following Novy-Marx(2012). That is, between the formation period and the holding period, were added at interval period.
The result showed that use of traditional momentum strategy and positive return by investment portfolio had seldom been seen. In the other hand, using contrarian strategy got significant positive return. Analysis of this matter any further about Novy-Marx (2012), using period interval way to build momentum portfolio got significant negative return of proportion increases when period interval increased. That’s strategy which get as period. The most of proportion about formation period were 9 months. After then, it was been crash. Compared with traditional momentum strategy from Jegadeesh and Titman (1993), using of period interval way to build momentum was stronger that reverse momentum strategy with significant. And the results lend support to contrarian strategy hypothesis in Taiwan stock market.

並列關鍵字

Momentum strategy ； Contrarian strategy ； Interval

參考文獻

國外文獻

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