總體經濟、投資人情緒與動能策略報酬之關聯性分析

A Study of Relationship between Macroeconomic,Investor Sentiment and Momentum Strategy

余岳澤(Yueh-Tse Yu)

指導教授 ： 羅進水

長榮大學/管理學院/經營管理研究所/碩士(2009年)

摘要

本文參考Jegadeesh and Titman (2001)的研究方法，探討不同的形成期與持有期下，於台灣股票市場採取動能策略能否獲取超額報酬。另外參照Chordia and Shivakumar (2002)的研究，進一步探討總體經濟、投資人情緒與動能策略報酬相互間的影響關係。本文實證結果顯示，若於台灣股票市場執行動能策略，雖可獲取正報酬，但皆不顯著；不過若將一月份與非一月份及春節假期與非春節假期的報酬區分之後，卻發現有元月效應及春節效應的異常現象。本研究亦顯示短期內，總體經濟與投資人情緒對動能策略報酬確實有預測效果。

關鍵字

動能策略報酬 ； 總體經濟 ； 投資人情緒

並列摘要

This paper examines the profitability of momentum strategies documented in Jegadeesh and Titman (2001) for different formation and holding period in Taiwan stock market. Referring to Chordia and Shivakumar (2002) study, this paper further investigates the impact of macroeconomic and investor sentiment on momentum strategies. The empirical results reveal that there are no significant momentum profits. However, we found January effect and Chinese Lunar New Year effect exist in the momentum strategies. The evidence also shows that in the short term, the macroeconomic and investor sentiment may explain the profitability of momentum strategies.

並列關鍵字

profitability of momentum strategy ； macroeconomic ； investor

參考文獻

1.丁碧惠(2005)。市場狀態與動能投資策略績效關聯性之研究。台灣金融財務季刊，6(4)，1-19。

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