本文以新興市場股市為研究對象，資料期間採用1995年1月至2014年12月共計20年，並根據Richard(1997)動能策略之操作方式來建構贏家及輸家組合，分析在新興市場股市操作動能策略之績效報酬，區分在不同樣本、多空頭區間下的獲利狀況。之後找出影響新興市場指數報酬變動之因素，利用新興市場的特性找出較有可能影響的變數，並進行迴歸分析，再以預測能力較高之迴歸方程設立門檻值，調整原先之動能策略，期望獲得更高的報酬。

實證結果顯示，動能策略無論在哪一種策略下均不顯著，較可能的原因是新興市場指數齊漲齊跌的特性，導致贏家及輸家組合報酬差異並不大，因此動能策略報酬較不理想，但贏家組合報酬除了在空頭期間下不顯著外，其餘情況下均顯著，故其實僅需買入贏家組合即可獲得不錯的報酬。而新興市場指數報酬之決定因素主要為OECD景氣領先指標、美元指數及MSCI G7指數，其中以OECD景氣領先指標之影響程度較大，而美元指數及G7指數雖較小，但其方向多為負，表示當美元貶值，新興市場指數上漲，但反觀成熟市場指數則會下跌，代表不同市場間資金可能存在著排擠效應。最後採用這些變數設立門檻值，若達門檻當月則買進贏家組合，未達門檻則不進行任何操作，而此調整後交易策略之績效也確實較多頭期間時贏家組合之報酬來的好，並發現到以門檻值2%之效用為最大。

In this paper, firstly, we use emerging stock market as an object of study in which the monthly data is adopted from January 1995 to December 2014. According to Richard (1997)’s momentum strategy method, to construct the winner and loser portfolio, to analyze the performance from momentum strategies of emerging market, and then to distinguish the profit in different samples as well as the intervals of bullish and bearish markets. Secondly, find out the determinants of influencing the emerging market index returns. Using the characteristics of emerging market to identify the more possible variables, and then put these into regression model to analyze. Afterward, making use of the higher predictable equation of regression to set a threshold value and adjusting the previous momentum strategies in order to get a higher return.
The empirical results pointed out that the momentum strategies are not significant whenever in which term. The more likely reason is that emerging stock market index has the characteristic of all or nothing, and it results in unobvious return between winner and loser portfolio, hence the momentum strategies’ return is not expected. Yet, the winner portfolio’s return is significant except in the bearish period. Therefore, it should only buy the winner portfolio and then get a good return.
OECD leading indicator, US dollar index and MSCI G7 index are the mainly determinants of emerging market index return. The degree of influence of OECD leading indicator is greater among them. While US dollar index and the G7 index are smaller, their coefficients are negative. It means that when the US dollar depreciates, emerging stock market index will rise. By contrast, mature stock market index will fall. It shows that the funds have the crowding out effect between different markets.
Finally, use these variables to set the threshold value. If the threshold is reached, then buy the winner portfolio. Conversely, if it is not reached, then do not make any transaction in that month. The performance of trading strategies is definitely better than the winner portfolio during the bullish period after the adjustment, and it is found the utility is maximum when the threshold value is 2%.

論文審定書 i
摘要 ii
Abstract iii
目錄 v
圖目錄 vii
表目錄 viii
第一章 緒論 1
第一節 研究動機 1
第二節 研究目的 3
第三節 研究流程及架構 4
第二章 文獻回顧 6
第一節 動能策略相關文獻 6
第二節 報酬決定因子相關文獻 8
第三章 新興市場介紹 9
第一節 新興市場定義 9
第二節 新興市場特色 9
第四章 研究方法 13
第一節 資料來源與處理 13
第二節 研究方法 20
第五章 實證結果與分析 26
第一節 新興市場特性 26
第二節 動能策略績效 28
第三節 報酬變動原因之探討 34
第四節 調整後交易策略之實證結果 37
第六章 結論與建議 40
第一節 研究結論 40
第二節 研究建議 42
參考文獻 43
附錄 45

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