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研究生:王癸元
研究生(外文):Kuei-yuan Wang
論文名稱:動能策略與反向策略績效之研究:以台灣證券市場為例
論文名稱(外文):The Performance of Momentum and Contrarian Strategies: Evidence from the Taiwan Stock Exchange
指導教授:黃彥聖黃彥聖引用關係
指導教授(外文):Yen-Sheng Huang
學位類別:博士
校院名稱:國立臺灣科技大學
系所名稱:企業管理系
學門:商業及管理學門
學類:企業管理學類
論文種類:學術論文
論文出版年:2008
畢業學年度:96
語文別:英文
論文頁數:91
中文關鍵詞:動能策略反向策略日內交易相對強勢市場狀態台灣地區股票市場
外文關鍵詞:momentum strategycontrarian strategyintradayrelative strengthmarket stateTaiwan stock market
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本論文以台灣地區股票上市公司為研究對象,主要是檢驗以下目的:(1)反向策略的日內績效;(2)個股的相對強勢(relative strength)對於動能策略的影響;(3)市場多空頭狀態對動能策略績效的影響。本論文以台灣地區股票市場為研究對象,採用De Bondt and Thaler (1985)計算反向策略的方式進行探究。研究結果指出:(1)反向策略在日內交易可以獲得顯著的正報酬;此外,反向策略在開盤以及收盤期間,產生的報酬高於盤中期間。(2)動能策略較容易在趨勢向上的投資組合中獲利,而非趨勢向下的投資組合。(3)形成期的市場狀態會正向影響動能策略績效;然而,持有期的市場狀態會負向影響。也就是說,不論形成期的市場狀態如何,平均而言,當持有期為空頭時,動能策略可產生較持有期為多頭時更多的報酬。因此,持有期的市場多空頭狀態對於動能策略績效,亦能提供資訊意涵。
The purposes of this dissertation are to examine: (1) the intraday performance of contrarian strategies for stocks listed on the Taiwan Stock Exchange (TSE); (2) the effects of relative strength on momentum strategies for stocks listed on the TSE; and (3) the impact of market states on the performance of momentum strategies for stocks listed on the TSE. This dissertation follows the calculation of the contrarian profits of De Bondt and Thaler (1985) to explore. First, the empirical results of the intraday analysis indicate significantly positive abnormal returns for the contrarian strategies. Moreover, the abnormal returns earned by the contrarian strategies are higher in the opening and the closing intervals than in the middle of the trading day. Second, the momentum profits are more likely to occur for the upward portfolio than for the downward portfolio. Third, market states in the formation period are positively associated with the profitability of the momentum strategies. However, the momentum profits appear to be higher in a bearish holding period and lower for a bullish holding period. Thus, the market states in the holding period also provide information regarding the profitability of the momentum strategies.
Chapter 1 Introduction ……………………………………….………………..1

Chapter 2 Literature Review ….........................................................................8
2.1 Momentum and contrarian strategies …………………………………..8
2.2 The source of the momentum and contrarian strategies ……….………12
2.3 Market states and momentum strategy .................................................14

Chapter 3 Research Design ........................................................................…...17
3.1 Institutional background of the Taiwan Stock Exchange .......................17
3.2 Sample selection …................................................................................20
3.2.1 Samples for intraday research ….....................................................20
3.2.2 Samples for relative strength and market states research …………20

3.3 Methodology …......................................................................................21
3.3.1 Methodology for intraday research .....…………….……………...21
3.3.2 Methodology for relative strength research ……………………….23
3.3.3 Methodology for market states research ………………………….25

3.4 Measurement of variables ......................................................................28
3.4.1 Measurement of variables for intraday research .............................28
3.4.2 Measurement of variables for relative strength research ................30
3.4.3 Measurement of variables for market states research .....................

Chapter 4 Empirical Results ………….………………………...…….………35
4.1 The intraday performance of contrarian strategies ..........................…...35
4.1.1 The intraday return volatility on the Taiwan Stock Exchange ........35
4.1.2 The trading performance of the contrarian strategies for the whole trading day ………………………………………………………...37
4.1.3 The trading performance of the contrarian strategies in the opening period of the trading day ………………...……………………….40
4.1.4 The trading performance of the contrarian strategies in the middle period of the trading day ………………………………………………….43
4.1.5 The trading performance of the contrarian strategies in the closing period of the trading day ………………………………………………….46
4.1.6 Price reversals of prior winners and losers ………………………..48
4.1.7 Discussion ………………………………………………………...51

4.2 Relative strength and momentum profits ……………………………...52
4.2.1 Momentum profits for the original portfolio ……………………...52
4.2.2 Momentum profits for the upward and downward portfolios …….55
4.2.3 Robustness tests …………………………………………………...61

4.3 Market states and the profitability of momentum strategies …………..63
4.3.1 Market states in the formation periods and momentum profits …...63
4.3.2 Market states in the holding periods and momentum profits ……..67
4.3.3 Regression of momentum profits against market states …………..72
4.3.4 Discussion ………………………………………………………...76

Chapter 5 Conclusions …...................................................................................78
5.1 The intraday performance of contrarian strategies …………….….…….78
5.2. Relative strength and momentum profits ………………………………79
5.3 Market states and the profitability of momentum strategies ……………80
5.4 Limitations and future research ………………………..………………..81

Reference .............................................................................................................83
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