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    政大機構典藏 > 商學院 > 金融學系 > 學位論文 >  Item 140.119/140601


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    題名: 日本股市價格動能與流動性交易策略之研究
    Price Momentum and Trading Volume Strategies in Japan Stock Market
    作者: 吳怡蓁
    Wu, Yi-Chen
    貢獻者: 林靖庭
    吳怡蓁
    Wu, Yi-Chen
    關鍵詞: 動能
    交易量
    逆勢策略
    流動性
    金融危機
    日本股市
    新冠肺炎
    Momentum
    Volume
    Contrarian strategies
    Liquidity
    Financial crisis
    Japan stock market
    COVID-19
    日期: 2022
    上傳時間: 2022-07-01 16:10:00 (UTC+8)
    摘要: 過去許多學者發現投資人可從動能策略或逆勢策略中得到超額報酬。本研究即發現日本股市「不存在」動能現象，日本股市的投資人對於市場消息往往存在過度反應的現象，故逆勢投資策略是可行的，即買入過去報酬表現較差的股票、賣出過去表現較好的股票，能獲得正的超額報酬。又因低交易量投資組合的報酬率皆高於高交易量的投資組合，即流動性溢酬存在，交易策略可進而延伸到「買入低成交量的輸家、賣出高成交量的贏家」，此策略於日本股市可得到相對更高之超額報酬。另探討2008年金融危機及2020年COVID-19新冠疫情兩事件發生期間動能之表現，實證結果得出動能大致上仍不存在，然而，流動性溢酬皆消失，意謂著於股市恐慌期間，成交量失去原來傳遞資訊之功能。
    It has been established by many studies that investors can acquire excess return from momentum strategies or contrarian strategies. This paper discovers that momentum of Japan stock market is non-existent. Investors of Japan stock market are often over-reactive to market information, which rationalizes the feasibility of contrarian strategies. In other words, through buying in stocks with inferior past return performance and selling out that with superior return performance, excess return could be expected. In addition, low-volume portfolio has higher rate of return than high-volume portfolio, which indicates the existence of liquidity premium, and strategies can be further extended to a conclusion of “buying in low-volume losers while selling out high-volume winners”, a strategy that yields relatively high excess return in Japan stock market. We also discuss the momentum performance during 2008 financial crisis and 2020 COVID-19 Pandemic, and conclude that momentum generally does not exist but so does liquidity premium, indicating that during market panic period, volume may lose its function in delivering information.
    參考文獻: 1. 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5卷第4期，頁1-19。
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    15. Iihara, Y., Kato, H., and Tokunaga, T. (2003). The Winner-Loser Effect in Japanese Stock Returns. Japan And The World Economy, 16(4), 471-485.
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    17. Jegadeesh, N., and Titman, S. (1993). Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency. The Journal Of Finance, 48(1), 65-91.
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    19. Kahneman, D., and Tversky, A. (1982). The Psychology of Preferences. Scientific American, 246(1), 160–173.
    20. Lee, C., and Swaminathan, B. (2000). Price Momentum and Trading Volume. The Journal Of Finance, 55(5), 2017-2069.
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    22. Zarowin, P. (1990). Size, Seasonality, and Stock Market Overreaction. The Journal Of Financial And Quantitative Analysis, 25(1), 113.
    描述: 碩士
    國立政治大學
    金融學系
    109352014
    資料來源: http://thesis.lib.nccu.edu.tw/record/#G0109352014
    資料類型: thesis
    DOI: 10.6814/NCCU202200567
    顯示於類別:[金融學系] 學位論文

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