臺灣博碩士論文加值系統

本研究係以針對在2001年及2007年投資大型台灣股票指數期貨的日交易者為研究對象，將此類別投資人再依投資策略型態區分為動能(Momentum)策略投資者(追高殺低)及反向(Contrarian)投資策略投資者(買低賣高)兩種對象，撇開交易異常波動的區間，特別針對在一般區間的交易資料，檢驗兩種投資策略是否存在績效上的差異，並探討前期投資策略與投資績效對本期投資策略有什麼影響。研究結果發現，前期投資策略與投資績效確實對本期投資策略有影響；而台灣股票指數期貨的投資人雖然偏向於採用動能(Momentum)投資策略，但是採用動能(Momentum)投資策略的績效卻沒有顯著的獲利，顯示台灣市場與美國市場採用不同投資策略造成的績效是存在著差異的。此結果支持了Hameed and Kusnadi(2002)的發現，並推翻了Grinblatt and Keloharju(2001)的結果。

Our study investigates whether the day traders of Taiwan stock index futures using different investment strategies resulted in different performances in 2001 and 2007. We categorize the trading behavior of these investors into two categories: Momentum and Contrarian strategy, when traders buy the past winner stocks and sell the past loser stocks, they are Momentum strategy traders. When traders buy the past loser stocks and sell the past winner stock, they are called Contrarian strategy traders. After excluding the abnormal fluctuations in the trading interval, we are able to examine the performance between these two strategies. We further examine the impact of prior strategy and prior performance on current performance.

The results suggest that prior strategy and prior performance can influence current invested performance. Although the investors in Taiwan stock index futures prefer to use Momentum strategy, it appears that there is no significant and positive performance using Momentum strategy. Suggesting the discrepancies between Taiwan investors and U.S investors do exist. This findings support Hameed, and of Kusnadi (2002) but do not support the result of Grinblatt and Keloharju (2001).

第一章 緒論 1
第一節 研究背景與動機 1
第二節 研究目的及貢獻 4
第三節 研究流程 6
第二章 文獻探討 7
第一節 理論與文獻回顧 7
第二節 相關之實證研究 11
第三章 研究方法 15
第一節 研究問題 17
第二節 模型建立 20
第三節 研究期間及樣本 22
第四節 變數說明 28
第四章 研究結果　32
第一節 基本敘述性統計 32
第二節 績效評估 35
第三節 迴歸結果分析 37
第五章 結論與建議 45
第一節 實證結果與發現 45
第二節 研究限制 47
第三節 研究建議 47
參考文獻 49

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