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| Title: | 台灣股市低波動異常報酬實證研究
An Empirical Study on Low Volatility Abnormal Returns in Taiwan's Stock Market |
| Authors: | 劉人慈
Liu, Jen-Tzu |
| Contributors: | 蕭明福
Shaw, Ming-Fu
劉人慈
Liu, Jen-Tzu |
| Keywords: | 低波動異常報酬
避風港效應
因子模型
Low volatility anomaly return
Safe Haven Effect
Factor model |
| Date: | 2025 |
| Issue Date: | 2025-08-04 12:52:58 (UTC+8) |
| Abstract: | 本論文以台灣上市股票為研究對象，採用2007年至2023年之資料，檢驗台灣股市是否存在「低波動異常現象（Low Volatility Anomaly）」及其於市場風險上升期間之避風港效應（Safe Haven Effect）。傳統財務理論主張風險與報酬應呈正相關，然而近年實證研究卻發現，高波動性股票之報酬往往低於低波動股票，此現象挑戰了「高風險高報酬」的既有認知。國際相關研究亦顯示，低波動組合存在避風港效應，且此異常現象在市場風險上升或遭遇重大偶發事件時尤為明顯。
本論文結合Fama-MacBeth兩階段迴歸分析，並採用Fama-French三因子、Carhart四因子及Fama-French五因子等多因子模型，以獨特性風險與市場風險因子作為分組與解釋變數，並以台灣加權指數選擇權波動率指數（VIX）作為市場風險之代理指標。
實證結果顯示，台灣股市在確實存在顯著的低波動異常現象。低波動投資組合於短期估計期間內，其截距項超額報酬顯著為正，且明顯優於高波動投資組合，此現象於不同多因子模型下均具穩健性。隨著估計期間延長，低波動與高波動組合的報酬差距逐漸縮小，顯示該異常現象具有時間敏感性。此外，當市場風險明顯上升時，低波動投資組合能提供正向貼水，進一步驗證避風港效應的存在，意味著投資人可於市場波動劇烈期間，透過配置低波動標的（如低波動ETF）獲得較佳之風險調整後報酬。產業分佈分析則指出，低波動組合多集中於紡織、水泥、食品等傳統防禦型產業，而Fama-French五因子模型則能篩選出大型科技產業中的低波動標的。
This paper investigates Taiwan-listed stocks using data from 2007 to 2023, aiming to examine whether a “Low Volatility Anomaly” exists in the Taiwanese stock market and to assess the safe haven effect during periods of heightened market risk. According to traditional financial theory, risk and return should be positively correlated; however, recent empirical studies have found that high-volatility stocks often yield lower returns than low-volatility stocks, challenging the conventional “high risk, high return” paradigm. International research also indicates that low-volatility portfolios exhibit a safe haven effect, with this anomaly being particularly pronounced during periods of increased market risk or major unexpected events.
This study employs Fama-MacBeth two-stage regression analysis and utilizes multi-factor models—including the Fama-French three-factor, Carhart four-factor, and Fama-French five-factor models—using idiosyncratic risk and market risk factors as grouping and explanatory variables. The Taiwan Weighted Index option volatility index (VIX) serves as a proxy for market risk.
Empirical results confirm the presence of a significant low volatility anomaly in the Taiwanese stock market. Low-volatility portfolios generate significantly positive intercept excess returns over short estimation periods and consistently outperform high-volatility portfolios. This finding remains robust across different multi-factor models. As the estimation period lengthens, the return differential between low- and high-volatility portfolios gradually narrows, indicating that the anomaly is time-sensitive. Furthermore, when market risk rises significantly, low-volatility portfolios provide positive premiums, further validating the safe haven effect. This suggests that investors can achieve superior risk-adjusted returns by allocating to low-volatility assets (such as low-volatility ETFs) during periods of heightened market volatility. Industry distribution analysis reveals that low-volatility portfolios are predominantly concentrated in traditional defensive sectors such as textiles, cement, and food, while the Fama-French five-factor model enables the identification of low-volatility stocks among large technology firms. |
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| Description: | 碩士
國立政治大學
經濟學系
112258042 |
| Source URI: | http://thesis.lib.nccu.edu.tw/record/#G0112258042 |
| Data Type: | thesis |
| Appears in Collections: | [經濟學系] 學位論文
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