本研究以台灣證券交易所上市公司為研究對象,使用1992年1月1日至2012年11月30日之月資料進行分析,依循Lee and Swaminathan(2000)的研究方法,利用t檢定及迴歸分析驗證台灣市場是否存有動能生命週期,另針對在研究期間台灣股市的信用交易限制對早期與晚期價格動能投資策略的影響。 實證結果顯示,台灣股市普遍不存在價格動能效果,顯著水準並不明顯。此外,台灣股市存在顯著的交易量動能效果,低交易量的投資組合未來報酬表現顯著優於高交易量組合,符合Amihud和Mendelson (1986)所提出的「流動性假說」。再者,早期價格動能投資策略,其報酬率顯著優於晚期價格動能投資策略,顯示台灣股市符合動能生命週期假說,透過過去交易量資訊,可幫助投資者判斷動能策略的方向。並發現在考慮信用交易後,報酬皆明顯低於零成本的投資策略。
This study adopts listed companies of TWSE as objects, analyzing data began first January 1999 to thirtieth November 2012. Following to Lee and Swaminathan(2000) method to use T statistics and Regression Analysis to verify there is momentum life cycle in Taiwan market or not. Also, for this study, we list bellow Market tick can’t short selling of Taiwan Stock Market. For the result, Taiwan not usually exists this effect, level of significance is not obvious. Then, Taiwan exists outstanding trading momentum effects, the portfolio return of low trading is more profit than high trading in the future, it conform to “Liquidity Hypothesis” of Amihud and Mendelson (1986). The early portfolio return ratio of price momentum structure is more advantageous than lately, it comes out that Taiwan conforms to “Momentum Life Cycle Hypothesis”. By the information of past trading, investor can determine the way of momentum structure. Then, after considering credit trading, the return is specific lower than the invest structure of non-cost.