臺灣博碩士論文加值系統

本研究發現上海股市短期呈現價格反轉效應，中長期呈現價格動能效應。此外，亦發現投資人存在心理與行為偏誤。在反轉恐懼、處分指標與價格動能的複合投資策略分析上，當結合處分指標與反轉恐懼或是結合處分指標與價格動能時，複合投資策略的報酬優於單一投資策略的報酬。最後，投資人心理、行為與市場報酬的因果關係檢定的結果顯示，在短期，投資人心理因來自行為與市場兩股相反的力量而形成平衡；在中長期，市場因來自於投資人心理與行為兩股相反的力量而形成平衡。

This research referred that the Shanghai Stock market short-term exhibits the price contrarian effect, the medium and long-term exhibits the price momentum effect. Furthermore, it also discovers that the investors have the psychology and the behavior harms. Respect to reversal fear, disposition target and price momentums'' analysis of the compound investment strategy, when it combines disposition target and reversal fear, or disposition target and price momentum, the reward of the compound investment strategy surpasses the reward of the sole investment strategy. Eventually, the Causality test in investor’s psychology, the behavior and the market returns which indicates there is a balance between two opposite strength of the behavior and the market. And in the medium and long-term, the market makes the balances between two opposite strength in investor’s psychology and the behavior.

中文摘要 i
誌謝 ii
目錄 iii
圖目錄、表目錄 iv
第一章 研究背景、動機、假設與目的 1
第一節 研究背景與動機 1
第二節 研究目的 5
第三節 研究假設 7
第四節 研究架構與研究流程 10
第二章 文獻探討 11
第一節 反轉恐懼與價格動能 11
第二節 處分效果與價格動能 16
第三節 反轉恐懼與處分效果 20
第四節 反轉恐懼、處分效果與市場報酬率 21
第三章 研究方法 22
第一節 研究期間與資料來源 22
第二節 變數定義 23
第三節 因果關係檢定 27
第四章 實證研究與分析 28
第一節 中國上海股市之價格動能檢驗 28
第二節 反轉恐懼動能 29
第三節 市場化處分效果之行為動能 31
第四節 處分指標與價格動能 34
第五節 處分指標與反轉恐懼 37
第六節 反轉恐懼與價格動能 40
第七節 反轉恐懼、處分指標與市場報酬 43
第五章 結論與建議 47
參考文獻 50

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