動能策略之實證研究

本研究以台灣證券交易所上市公司為研究對象，使用1990年1月1日至2010年12月31日之週資料進行分析，以動能投資策略來探討台灣股票市場。本研究資料來源主要取自台灣經濟新報。本研究想探討的是台灣市場是否存有價格動能與交易量動能的效果，以及由交易量-價格動能策略下所建構出的四類投資組合走勢為何。本研究會以調整風險前與調整風險後之平均週報酬率來進行分析，本研究使用Fama-French (1993)三因子模型，針對所形成之投資組合報酬率進行風險調整，再以風險調整後之報酬率進行分析與檢定。本研究的檢定方法主要是利用t檢定及迴歸分析。本研究實證結果歸納如下：1.在固定為高交易量或低交易量的投資組合，台灣股市普遍存在價格動能的現象，只有在持有長期的情況下不存在價格動能的效果；2.在固定為贏家或輸家的投資組合，台灣市場皆不存有交易量動能的效果；3.調整風險前與調整風險後報酬率的走勢，大致相同，高交易量輸家及高交易量贏家表現較佳，一路爬升。表現最差的皆為低交易量輸家，在持有期2~24週的期間皆持續下跌，直到持有期48週才稍微回升。

關鍵字

動能投資策略；三因子模型；交易量

並列摘要

According to weekly information of the public traded companies, collected in Taiwan Economic Journal from January 1, 1990 to December 31, 2010, this study is to evaluate the possibility of price momentum and volume momentum in Taiwan Stock Market, as well as the way how four different investment profolios function under the Volume-Based Price Momentum Strategy The method, called T-test and regression analysis, is mainly about analyzing weekly average ROI before risk adjustments are adopted and afterward. Also, Fama-French Three Factors Model is greatly used to rate ROI and estimate how risk adjustments work. As the outcome shows, first, in high-volume and low-volume investment profolios, the price momentum is commonly seen, except the holding period which is long enough. Second, Taiwan stock market is without the effects of volume momentum if the loser and winner are fixed in the investment profolio. Third, the ROI is almost identical before or after the risk adjustments are made. Under this circumstance, the profits of high-volume loser and high-volume winner are more that those of low-volume loser. The worst ROI comes to the low-volume loser, whose value of investment profolio drops in the 2th to 24th weeks until the forty-eighth week brings slight profits.