本研究針對Lee and Swaminathan (2000) 所提出「交易量可預測動能的規模與持續時間」進行驗證，探究交易量與價格動能交易策略在台灣上市櫃公司中的表現。本研究發現，在一年之內，過往具有較高報酬率的公司，其未來報酬率較高；而低交易量公司的報酬率皆高於高交易量公司。將投資期間拉長至五年，則可見到高交易量之股票，其動能逐漸消散，但並無觀察到動能反轉的現象。針對上述，本研究提出「買入低交易量的贏家、並賣出高交易量的輸家」的淨零投資交易策略，將能賺取中期每月1.27%至1.33%、或長期每年4.51%至16.47%的超額報酬。此外，本研究亦觀察股票動能於股市恐慌期間的表現，可發現在全球金融海嘯時期有顯著的動能反轉；然而在新冠肺炎疫情期間，台灣上市櫃公司的動能並未如金融危機期間有明顯的消散現象，推測是因為疫情僅為間接對金融體系造成衝擊，且在疫情爆發初期，台灣國內並未受到疫情嚴重影響，故股市於崩跌後快速反彈。

This study examines the performance of trading volume and price momentum strategies among Taiwan’s listed companies based on the idea that past trading volume predicts the magnitude and persistence of price momentum, which was first documented by Lee and Swaminathan (2000). The result shows that in intermediate-horizon, firms with higher past returns earn higher future returns; in the meantime, firms with lower turnover rate earns higher future returns than firms with higher turnover rate. If the holding period is lengthened to 5 years, it’s found the momentum premiums of high-liquidity firms dissipate gradually, while no significant momentum reversal was found. Based on the above, this study suggests a dollar-neutral portfolio that longs low volume winners and shorts high-volume losers, which generates excess return by 1.27% to 1.33% monthly in intermediate horizon, or 4.51% to 16.47% annually in long horizon. This paper also examined how momentum behaves during recent market declines, where we find momentum reversal during the financial crisis, while no significant momentum dissipation is observed during the panic state caused by COVID-19. A possible explanation is that the pandemic didn’t cause direct damage to the financial system, and Taiwan was not severely affected at the beginning of the global outbreak, so the stock market rebounded quickly following the crash.

第一章　前言 1
第二章　資料與樣本來源 4
第三章　實證結果 6
一、 僅考量動能的交易策略報酬 6
二、 考量交易量與價格動能的中期交易策略報酬 8
三、 中期交易策略的強度測試 10
四、 中期淨零投資交易策略 11
五、 長期交易量與價格動能交易策略與強度測試 12
六、 長期淨零投資交易策略 14
七、 實證結果與交易策略之總結與橫斷面回歸 15
第四章　股市崩跌期間的動能效果 17
第五章　結論 19
參考文獻 21
附錄 44
附錄一　景氣循環依據 44
附錄二　中期交易策略之強度測試：建構期間為3、9及12個月 45
附錄三　價格動能在長期策略下的報酬表現：建構期間為3、9及12個月 54

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