追漲殺跌策略的獲利能力與其獲利來源一直是學術界重視的研究目標。此外，投資人的行為表現與心理層面構想亦在財務理論中也逐漸被受到重視。因此，本研究乃試圖藉由臺灣期貨市場的實證研究來瞭解追漲殺跌策略應用於臺灣期貨市場上獲利的可能性，並進一步探討影響追漲殺跌策略獲利因素，並獲致以下之重要實證結果: 研究實證結果發現，臺指期貨之追漲殺跌投資策略中，其實是可能存有獲利的空間，而且以正向回饋交易之獲利空間較反向回饋之交易為多，但若考量交易成本等因素，其獲利空間其實並不高。此外若交易策略有採用停利停損的考量，其實是可以增進其獲利空間，因為此機制可以經由停利停損提前平倉來獲利，避免因未採停損致使虧損擴大或未採停利而使獲利的戰果遭受侵蝕。此外期貨指數的變動率上升時較易產生正向報酬，然而當期貨開盤價大於收盤價與日經指數上漲時，反而不容易有獲利的空間。 The profitability of the momentum strategy is always emphasized by academic researches. In addition, behavior finance are also gradually put stress on the area of finance. Thus, this study tries to find the possibility of profitability by adapting momentum strategy in Taiwan future markets, and also tries to find the factor causing the profitability of momentum strategy, and then several important finding are discourse as follows: In this empirical study, the momentum strategy has the possibility of profitability in Taiwan future markets, and the profitability of positive feedback trading is more than that negative feedback trading, but while concerning transaction costs, the profit are limited. In addition, while adopting the strategies of stop-profit and stop-loss, the profit could be enlarged, since investor could keep profit by using stop-loss strategy in order to prevent enlarge loss due to not using stop-loss strategy. As for the factors of affecting profitability, this study finds rising future index might have positive profit on investing index futures, but it will be difficult to make profits while opening price of future index are higher than the closing price of future index, and the rising of Nikki 225 index.
