Please use this identifier to cite or link to this item: http://hdl.handle.net/11455/23180
標題: The study of momentum strategy of Taiwan electronic stocks
台灣電子類股動能策略之研究
作者: 郭芝君
Kuo, Che-Chun
關鍵字: 動能策略;momentum strategy;景氣循環;股市多空頭;business cycle;stock market cycle
出版社: 財務金融學系
摘要: 
Jegadeesh and Titman(1993)提出「動能策略」(momentum strategy),因為短期內投資人對訊息反應不足,因此股價有「強者恆強,弱者恆弱」的現象,所以藉由買進前期贏家、賣出前期輸家(動能策略),發現在持有期3-12個月可以獲得超額報酬。
本文用形成期及持有期1、3、6、9、12個月形成投資組合,探討在1991~2005執行動能策略的獲利性,並進一步檢定在股市多空期及景氣循環期間動能策略的報酬率,並用景氣指標及技術分析圖來形成投資投資組合,藉由獲利結果,研究這些指標是否可以幫助投資人判斷未來的景氣變動。
結果顯示:在台灣股票市場採行動能策略,長期而言,平均報酬不為顯著的正報酬,但若於景氣循環及股市多空頭執行動能策略會獲得正報酬;在景氣擴張及股市多頭時,買贏家策略報酬率較高;在景氣衰退及股市空頭時,賣輸家策略報酬率較佳;動能現象在股市多空頭持續時間較景氣循環期間長,且可以獲得顯著的報酬。領先指標及移動平均線可以協助投資人判斷未來的經濟情況。

Jegadeesh and Titman (1993) document the momentum strategy. Investors tend to underreact to new information, so that the stock price has the phenomenon of momentum. With buying the prior winners and selling the prior losers, the momentum strategy has obtained abnormal return over 3-12 months.
This study forms the portfolios with1, 3, 6, 9, 12 months formation and holding periods to investigate whether abnormal positive returns in Taiwan stock market in 1991-2005 can be obtained by some investment strategies. We also examine the returns of momentum strategy in business cycle and stock market cycle. Moreover, we use economic indicators and technical analysis diagrams to form the investment portfolios and then to discuss whether these indicators provide useful information on forming strategies.
Our empirical results show that the average return of momentum strategy is not significant positive in Taiwan stock market during 1991-2005. However, momentum strategy with information of business cycle and stock market cycle obtain positive profit. The winner portfolio is better than momentum portfolio in the expansion of business cycle and bull market. On the other hand, The loser portfolio perform better than momentum portfolio in the recession of business cycle and bear market. The period of momentum phenomenon in stock market cycle lasts longer than that in business cycle. The momentum portfolio in stock market cycle performs better than that in business cycle. In addition, leading indicator and the technical analysis of Moving Average(MA) provide useful information to investors.
URI: http://hdl.handle.net/11455/23180
Appears in Collections:財務金融學系所

Show full item record
 

Google ScholarTM

Check


Items in DSpace are protected by copyright, with all rights reserved, unless otherwise indicated.