本研究探討在不同高階動差及市場多空期間的區隔下,兩岸股市所應採用之動能投資策略。本研究參考Rachev et al.(2007)的方法,同時使用累計報酬率、夏普比率、穩定尾部調整報酬率及瑞秋比率等四個準則來選股,再以動能策略形成投資組合。運用SAS 9.4 –IML程式語言,進行投資模擬分析。本研究之資料期間自1998年7月至2014年6月止。台灣證券市場投資模擬家數從1999年的476檔股票至2014年的1,498檔股票;而大陸證券市場(含上海及深圳)投資模擬家數從1999年的910檔股票至2014年的2,506檔股票。投資模擬設計包括投資準則、贏家輸家比率、形成期間、持有期間、移動窗格及重複期間法、幾何布朗寧運動(GBM)模擬、VaR顯著水準、市場多空頭、個股偏峰態象限,研究結論說明如下: 一、在不考慮多空期及高階動差狀況下,兩岸股市最佳投資策略皆屬瑞秋比率準則之動能策略(買贏家)。台灣股市最佳年化投資報酬為24.60%;而大陸股市最佳年化投資報酬為31.50%。 二、在不同高階動差的區隔下,兩岸股市最佳投資策略皆屬動能策略,應用瑞秋比率準則,在兩岸股市具最佳報酬,台灣股市在偏峰態第二象限(左偏尖峰)有最佳報酬29.97%;而大陸股市在偏峰態第三象限(左偏低峰)有最佳報酬為35.31%。 三、在市場多空期間的區隔下,台灣股市在輸家組合、空頭期及準則一(累計報酬率)反而有最佳報酬48.23%,即台灣股市在空頭期間,似應採用動能反轉策略,可得到最佳績效。而大陸股市方面在贏家組合、多頭期及準則四瑞秋比率,有絕佳的動能投資績效,最佳報酬為62.07%,即大陸股市在多頭期間,似應採用動能策略。 四、在不同高階動差及市場多空期間的區隔下,台灣股市在多頭期以動能策略投資(買贏家);空頭期以動能反轉策略投資(買輸家);大陸股市在多頭期以動能策略投資(買贏家) ;空頭期亦以動能策略投資(買贏家)。
The purpose of this study is to investigate the appropriate momenta strategies between Taiwan and Mainland China stock markets under different stocks’ higher-order moments and bull/bear market conditions. Based on Rachev et al. (2007) method, this study utilizes cumulative return (CUMR), Sharpe ratio (SHR), stable-tailed adjusted return ratio (STARR), and Rachev ratio (RR) as investment criteria. This study adopts SAS 9.4-IML programming language for investment simulation. The data ranges from 1998/7 to 2014/6. Specifically, the numbers of simulated firms are 476 firms in 1998/7 to 1,498 firms in 2014 for Taiwan, and 910 firms in 1998/7 to 2,506 firms in 2014 for Mainland China (including Shang Hai and Shen Zhen markets). The research design includes investment criteria, winner/loser, formation and holding periods, moving window and overlapping, Geometric Brownian Motion (GBM), VaR significance levels, bull/bear conditions, and stocks’ higher-order moment quadrants. The research findings are summarized as follows: (1) Without the consideration of bull/bear conditions and higher-order moment quadrants, the best investment strategies for both markets are RR ratio - momentum strategies, i.e., buy the winners. (2) Under 4 higher-order moment quadrants, the best investment strategies for both markets are RR ratio - momentum strategies, i.e., buy the winners. (3) Under 2 bull/bear conditions, the best combination of investment strategies for Taiwan is the losers portfolio, bear market, and investment criteria #1(CUMR). The best combination of investment strategies for Mainland China is the winners portfolio, bull market, and investment criteria #4(RR ratio). (4) Under 2 bull/bear conditions and 4 higher-order moment quadrants, the best investment strategies for Taiwan market is the momentum strategy in bull period and contrarian momentum strategy in bear period. For Mainland China, nevertheless, could use the momentum strategy in both bull or bear periods.