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    Title: 動能策略於臺灣股市之應用
    Other Titles: Momentum strategy : application of the Taiwan stock market
    Authors: 賴銘峰;Lai, Ming-Fung
    Contributors: 淡江大學財務金融學系碩士班
    顧廣平
    Keywords: 價格動能;產業動能;最高價動能策略;季節效應;春節效應;price momentum;Industry momentum;the highest price momentum strategy;seasonal effects;the Spring Festival effect
    Date: 2011
    Issue Date: 2011-12-28 17:33:14 (UTC+8)
    Abstract: 本研究參考Jegadeesh and Titman(1993)的價格動能策略、Moskowitz and Grinblatt(1999)的產業動能策略以及George and Hwang(2004)的52週最高價動能策略,使用台灣證券交易所上市及中華民國證券櫃檯買賣中心上櫃之普通股為研究樣本,研究期間為1997年1月至2010年12月,總計168個月,利用t檢定來驗證三種動能策略的獲利能力;並檢視其動能績效是否存在季節效應或春節效應,以及去探討三種動能策略績效是否會受到不同研究期間、市場別以及產業別之影響。
    實證結果顯示三種動能策略中存在顯著之產業動能效應,並且動能績效存在顯著季節效應與春節效應。但是在第一季以及春節期間三種動能策略平均報酬皆為負值,以及非春節期間存在顯著最高價動能效應。又本研究發現近7年的動能平均報酬優於前7年、上櫃公司的動能平均報酬優於上市公司,以及電子產業的動能平均報酬優於非電子產業。
    This study refers to Jegadeesh and Titman (1993)’s price momentum strategy , Moskowitz and Grinblatt (1999)’s industry momentum strategy and George and Hwang (2004) 52-week high price momentum strategy.Use the common stock of the Taiwan Stock Exchange and the OTC for the study sample, study period from January 1997 to December 2010, for 168 months, using t test to verify that the profitability of the three momentum strategy; and test momentum performance existence seasonal and Spring Festivaleffects, and discussion the three momentum strategies will be different duting the study period, market and industry influence.
    The empirical results show that three momentum strategy existence significant industry effect, and momentum performance existence significant seasonal and Spring Festival effects. But three momentum strategy during the Spring Festival and first quarter the average return are all negative, and non- Spring Festival existence significant high price momentum effect. Also this study found that the average return nearly 7years is better than first 7 years, the public listed companies is better than the OTC listed companies , and the electronics industry is better than non-electronic industry
    Appears in Collections:[財務金融學系暨研究所] 學位論文

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