政大機構典藏-National Chengchi University Institutional Repository(NCCUR):Item 140.119/135897

政大機構典藏-National Chengchi University Institutional Repository(NCCUR):Item 140.119/135897

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政大典藏 > College of Commerce > Department of International Business > Theses > Item 140.119/135897

Please use this identifier to cite or link to this item: https://nccur.lib.nccu.edu.tw/handle/140.119/135897

Title:	臺灣指數股票型基金的動能策略與反轉策略之實證研究 Momentum Strategy and Reversal Strategy in Taiwanese ETF market
Authors:	林以涵 Lin, Yi-Han
Contributors:	鍾令德林以涵 Lin, Yi-Han
Keywords:	指數股票型基金動能效應反轉效應 Momentum effect Reversal effect Exchange traded funds
Date:	2021
Issue Date:	2021-07-01 16:03:12 (UTC+8)
Abstract:	本研究以 2010 年至 2020 年的臺灣指數股票型基金的市場為例，參考Jegadeesh & Titman（1993）將資料期間依據其報酬率進行優劣排序，把指數型股票基金（ETF）分為「贏家」、「輸家」及其他，並透過「買進贏家、放空輸家」或「買進輸家、放空輸家」建構投資組合，觀察運用動能策略或反轉策略是否存在於臺灣的指數股票型基金市場中，並針對投資組合之特性（累計報酬率、回撤情形、夏普比率）進行分析。　　實證結果顯示，運用每日再平衡的反轉策略能成功在臺灣指數股票型基金之市場獲得超額報酬，每週再平衡的反轉策略則失敗，顯示反轉效應存在於短期市場中，投資人能藉市場長期存在的短期反轉效應來獲得超額報酬，惟此反轉策略可能在市場波動劇烈的時間失效，並牽涉較高的交易成本，故透過臺指選擇權波動率指數進行投資策略優化，判斷策略使用時機，降低投資組合的最大策略虧損，讓投資組合的表現更穩定，獲得更高的累計報酬率。 This thesis studies the performance of momentum and reversal strategies in the Taiwanese exchange traded funds (ETF) market from 2010 to 2020. Following Jegadeesh & Titman (1993), through “buy winners and short losers” or “buy losers and short losers”, I test whether the momentum effect or the reversal effect exists in the Taiwanese ETF market. In addition, I would analyze the characteristics of the investment portfolio including cumulative returns, drawdowns and Sharpe ratios. The empirical study reveals that the reversal strategy works only in daily frequency while momentum effects do not exist in the Taiwanese ETF market. Despite its significant positive average return, the reversal strategy may experience large drawdowns and entail large transaction costs. To improve strategy performance, I utilize the Taiwan VIX as a tool to avoid reversal crashes and reduce the maximum drawdown of portfolios, thus improving the stability of portfolio returns.
Reference:	期刊論文 Abarbanell, J. S., & Bernard, V. L. (1992). Tests of analysts` overreaction / underreaction to earnings information as an explanation for anomalous stock price behavior. The Journal of Finance, 47(3), 1181-1207. Asness, C., Frazzini, A., Israel, R., & Moskowitz, T. (2014). Fact, fiction, and momentum investing. The Journal of Portfolio Management, 40(5), 75-92. Banz, R. W. (1981). The relationship between return and market value of common stocks. Journal of Financial Economics, 9(1), 3-18. Chan, K., Hameed, A., & Tong, W. (2000). Profitability of momentum strategies in the international equity markets. Journal of Financial and Quantitative Analysis, 153-172. Daniel, K., & Moskowitz, T. J. (2016). Momentum crashes. Journal of Financial Economics, 122(2), 221-247. Daniel, K., & Titman, S. (1999). Market efficiency in an irrational world. Financial Analysts Journal, 55(6), 28-40. Doeswijk, R., & van Vliet, P. (2011). Global tactical sector allocation: A quantitative approach. The Journal of Portfolio Management, 38(1), 29-47. Fama, E. F. (1995). Random walks in stock market prices. Financial Analysts Journal, 51(1), 75-80. Geczy, C., & Samonov, M. (2013). 212 Years of Price Momentum (The World’s Longest Backtest: 1801–2012). Available at SSRN. Jegadeesh, N., & Titman, S. (1993). Returns to buying winners and selling losers:Implications for stock market efficiency. The Journal of Finance, 48(1), 65-91.36 Jegadeesh, N., & Titman, S. (2001). Profitability of momentum strategies: An evaluation of alternative explanations. The Journal of Finance, 56(2), 699-720. Malkiel, B. G., & Fama, E. F. (1970). Efficient capital markets: A review of theory and empirical work. The Journal of Finance, 25(2), 383-417. Petajisto, A. (2017). Inefficiencies in the pricing of exchange-traded funds. Financial Analysts Journal, 73(1), 24-54. Rosenberg, B., Reid, K., & Lanstein, R. (1985). Persuasive evidence of market inefficiency. The Journal of Portfolio Management, 11(3), 9-16. Stout, L. A. (2002). The mechanisms of market inefficiency : An introduction to the new finance. J. Corp. L., 28, 635. Vayanos, D., & Woolley, P. (2013). An institutional theory of momentum and reversal. The Review of Financial Studies, 26(5), 1087-1145. Zhang, X. F. (2006). Information uncertainty and stock returns. The Journal of Finance, 61(1), 105-137. 網際網路 2021 Global ETF Investor Survey, Retrieved April 10, 2021, from: https://www.bbh.com/us/en/insights/investor-services-insights/2021-global-etf-survey.html 臺灣投信投顧公會境內基金統計資料, Retrieved April 10, 2021, from: https://www.sitca.org.tw/ROC/Industry/IN2001.aspx?PGMID=IN0201
Description:	碩士國立政治大學國際經營與貿易學系 108351015
Source URI:	http://thesis.lib.nccu.edu.tw/record/#G0108351015
Data Type:	thesis
DOI:	10.6814/NCCU202100522
Appears in Collections:	[Department of International Business] Theses

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