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| Title: | 動能策略在日本股市的實證研究
Empirical studies of momentum strategies in the Japanese stock market |
| Authors: | 李柏儒
Lee, Bo Ju |
| Contributors: | 岳夢蘭
Yueh, Meng Lan
李柏儒
Lee, Bo Ju |
| Keywords: | 動能操作策略
價格動能策略
52週高價動能策略
移動平均動能策略
反應過度
反應不足
momentum strategy
price momentum
the 52-week high
the moving average ratio
overreaction
underreaction |
| Date: | 2011 |
| Issue Date: | 2012-10-30 13:59:37 (UTC+8) |
| Abstract: | 在選定樣本期間1975-2009年下，動能操作策略在日本股市無法獲得顯著正報酬。在三個子樣本期間：1975年-1989年、1990年-1999年以及2000年-2009年下也獲得相同結論，顯示日本股市不存在動能效應。
動能操作策略中的贏家、輸家排序，與公司的財務特性有關。整體而言，輸家股票在平均成交量、平均市值上皆小於贏家股票。另外，動能操作策略在日本股市的月報酬並沒有明顯季節性變化。
本論文比較文獻上提出的三種不同動能操作策略：歷史報酬率法、52週高點法與移動平均比率法在日本股市的績效表現。三者在日本股市皆無法獲得顯著報酬。最後，進行動能操作策略的形成期間分析。在持有期間第11個月至第18個月內，日本股市出現價格反轉情形。根據形成期間歷史報酬率高低，採用前17個月至前12個月的六個月累積歷史報酬率作為選股依據，採取反向操作策略，發現日本股市存在價格反轉現象。
Momentum strategies do not yield significant positive returns in the Japanese stock market in the sample period (1975 to 2009). In the three sub-periods, 1975 to 1989, 1990 to 1999 and 2000 to 2009, it demonstrates the same conclusion. Momentum effect does not exist in the Japanese stock market.
This study shows that the ranking order of winners and losers is associated with financial characteristics of firm. Overall, average trading volume and average market value of losers stocks are both smaller than those of winners stocks. In addition, the monthly return of momentum strategies has no significant seasonal pattern in the Japanese stock market.
In this study, we compare the performance of three different momentum strategies: JT’s individual stock momentum, the 52-week high and the moving average ratio in the Japanese stock market. All of three strategies in the Japanese stock market cannot receive significant profits. Final section tests the periodical analysis of momentum strategies. When extending the holding period, we can find that Japanese stock market experiences price reversal from the 11th to 18th months.
According to the historical return in formation period, we choose six-month accumulated historical return (17 to 12 months prior to portfolio formation) as the stock selection principle. Under this contrarian strategy, we find that the Japanese stock market has phenomenon of price reversal. |
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| Description: | 碩士
國立政治大學
財務管理研究所
99357025
100 |
| Source URI: | http://thesis.lib.nccu.edu.tw/record/#G0099357025 |
| Data Type: | thesis |
| Appears in Collections: | [財務管理學系] 學位論文
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