政大機構典藏-National Chengchi University Institutional Repository(NCCUR):Item 140.119/140600
English  |  正體中文  |  简体中文  |  Post-Print筆數 : 27 |  全文筆數/總筆數 : 113318/144297 (79%)
造訪人次 : 51081174      線上人數 : 989
RC Version 6.0 © Powered By DSPACE, MIT. Enhanced by NTU Library IR team.
搜尋範圍 查詢小技巧：
  • 您可在西文檢索詞彙前後加上"雙引號"，以獲取較精準的檢索結果
  • 若欲以作者姓名搜尋，建議至進階搜尋限定作者欄位，可獲得較完整資料
    •  進階搜尋
    政大機構典藏 > 商學院 > 金融學系 > 學位論文 >  Item 140.119/140600


    請使用永久網址來引用或連結此文件: https://nccur.lib.nccu.edu.tw/handle/140.119/140600


    題名: 台灣上市櫃公司交易量與價格動能交易策略之研究
    Research on Trading Volume and Price Momentum Strategies in Taiwan Stock Market
    作者: 林彧生
    Lin, Yu-Sheng
    貢獻者: 林靖庭
    Lin, Ching-Ting
    林彧生
    Lin, Yu-Sheng
    關鍵詞: 動能交易策略
    交易量
    週轉率
    流動性
    金融危機
    新冠肺炎
    Momentum strategy
    Trading volume
    Turnover rate
    Liquidity
    Financial crisis
    COVID-19
    日期: 2022
    上傳時間: 2022-07-01 16:09:47 (UTC+8)
    摘要: 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.
    參考文獻: 胡星陽 (1998)，流動性對台灣股票報酬率的影響，中國財務學刊， 第五卷第四期，1-19。
    陳正佑 (2002)，台股動量策略與反向策略投資績效之研究，國立中山大學財務管理研究所未出版博士論文。
    行政院主計總處 (2022)，中華民國統計資訊網人力資源主要指標－失業率，https://statdb.dgbas.gov.tw/pxweb/dialog/varval.asp?ma=LM0107A1M&ti=%A4H%A4O%B8%EA%B7%BD%A5D%ADn%AB%FC%BC%D0%2D%A4%EB&path=%2E%2E%2FPXfile%2FLaborForce%2F&xu=&yp=&lang=9，擷取日期：2022年5月15日。
    Chan, L. K., Jegadeesh, N., & Lakonishok, J. (1996). Momentum strategies. The Journal of Finance, 51(5), 1681-1713.
    Chordia, T., & Shivakumar, L. (2002). Momentum, business cycle, and time‐varying expected returns. The Journal of Finance, 57(2), 985-1019.
    Cooper, M. J., Gutierrez Jr, R. C., & Hameed, A. (2004). Market states and momentum. The Journal of Finance, 59(3), 1345-1365.
    Daniel, K., & Moskowitz, T. J. (2016). Momentum crashes. Journal of Financial Economics, 122(2), 221-247.
    Datar, V. T., Naik, N. Y., & Radcliffe, R. (1998). Liquidity and stock returns: An alternative test. Journal of Financial Markets, 1(2), 203-219.
    De Bondt, W. F., & Thaler, R. (1985). Does the stock market overreact?. The Journal of Finance, 40(3), 793-805.
    Fama, E. F., & MacBeth, J. D. (1973). Risk, return, and equilibrium: Empirical tests. Journal of Political Economy, 81(3), 607-636.
    Figelman, I. (2007). Stock return momentum and reversal. The Journal of Portfolio Management, 34(1), 51-67.
    Glaser, M., & Weber, M. (2009). Which past returns affect trading volume?. Journal of Financial Markets, 12(1), 1-31.
    Griffin, J. M., Ji, X., & Martin, J. S. (2003). Momentum investing and business cycle risk: Evidence from pole to pole. The Journal of Finance, 58(6), 2515-2547.
    Grundy, B. D., & Martin, J. S. M. (2001). Understanding the nature of the risks and the source of the rewards to momentum investing. The Review of Financial Studies, 14(1), 29-78.
    Hansen, L. P., & Hodrick, R. J. (1980). Forward exchange rates as optimal predictors of future spot rates: An econometric analysis. Journal of Political Economy, 88(5), 829-853.
    Jegadeesh, N., & Titman, S. (1993). Returns to buying winners and selling losers: Implications for stock market efficiency. The Journal of Finance, 48(1), 65-91.
    Jegadeesh, N., & Titman, S. (2001). Profitability of momentum strategies: An evaluation of alternative explanations. The Journal of Finance, 56(2), 699-720.
    Lee, C. M., & Swaminathan, B. (2000). Price momentum and trading volume. The Journal of Finance, 55(5), 2017-2069.
    Newey, W. K., & West, K. D. (1987). Hypothesis testing with efficient method of moments estimation. International Economic Review, 777-787.
    Rouwenhorst, K. G. (1998). International momentum strategies. The journal of finance, 53(1), 267-284.
    Stivers, C., & Sun, L. (2010). Cross-sectional return dispersion and time variation in value and momentum premiums. Journal of Financial and Quantitative Analysis, 45(4), 987-1014.
    U.S. Bureau of Labor Statistics (2022). Unemployment Rate (Seasonally Adjusted). Retrieved from https://data.bls.gov/cgi-bin/surveymost?bls on May 15, 2022
    描述: 碩士
    國立政治大學
    金融學系
    109352012
    資料來源: http://thesis.lib.nccu.edu.tw/record/#G0109352012
    資料類型: thesis
    DOI: 10.6814/NCCU202200563
    顯示於類別:[金融學系] 學位論文

    文件中的檔案:

    檔案 描述 大小格式瀏覽次數
    201201.pdf5317KbAdobe PDF20檢視/開啟


    在政大典藏中所有的資料項目都受到原著作權保護.


    社群 sharing

    著作權政策宣告 Copyright Announcement
    1.本網站之數位內容為國立政治大學所收錄之機構典藏，無償提供學術研究與公眾教育等公益性使用，惟仍請適度，合理使用本網站之內容，以尊重著作權人之權益。商業上之利用，則請先取得著作權人之授權。
    The digital content of this website is part of National Chengchi University Institutional Repository. It provides free access to academic research and public education for non-commercial use. Please utilize it in a proper and reasonable manner and respect the rights of copyright owners. For commercial use, please obtain authorization from the copyright owner in advance.

    2.本網站之製作，已盡力防止侵害著作權人之權益，如仍發現本網站之數位內容有侵害著作權人權益情事者，請權利人通知本網站維護人員(nccur@nccu.edu.tw)，維護人員將立即採取移除該數位著作等補救措施。
    NCCU Institutional Repository is made to protect the interests of copyright owners. If you believe that any material on the website infringes copyright, please contact our staff(nccur@nccu.edu.tw). We will remove the work from the repository and investigate your claim.
    DSpace Software Copyright © 2002-2004  MIT &  Hewlett-Packard  /   Enhanced by   NTU Library IR team Copyright ©   - 回饋