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    Please use this identifier to cite or link to this item: https://nccur.lib.nccu.edu.tw/handle/140.119/124175


    Title: 應用動能投資策略於台灣股票市場之研究
    The Study of the Application of Momentum Strategy in Taiwan Stocks
    Authors: 陳新元
    Chen, Hsin-Yuan
    Contributors: 鄭宇庭
    陳新元
    Chen, Hsin-Yuan
    Keywords: 動能策略
    CAPM模型
    市場過度反應
    台灣上市股票
    Date: 2019
    Issue Date: 2019-07-01 10:56:03 (UTC+8)
    Abstract: 近年來隨著台灣經濟的發展，人們開始越來越注重個人理財。而市場上眾多的投資理財工具中，最為人們所熟悉的就是股票投資了。而投資策略五花八門，關於投資策略的效果也眾說紛紜。本研究選擇近年來新興策略之一的動能策略為研究對象，並以台灣半導體股票為例，研究動能策略應用的可行性。
    本研究以Yahoo財經所公布的2018年1月1日至2018年12月31日的歷史股市收盤價做為資料分析的基礎，並以Jegadeesh & Titman (1993)為依據，建構出三種不同的投資組合，最後再使用不同的統計分析方法拆解利潤來源，並分析其特性。實證結果顯示：
    1. 動能策略並未能在台灣半導體股票上取得異常報酬。
    2. 在台灣半導體股票上應用動能策略並未能取得理想上的alpha與beta值。
    3. 台灣半導體股票之贏家組合並未能達到其創造利潤的預期效果。
    4. 台灣半導體股票並未存在著過度反應與反應不足的現象。
    Reference: 一、 中文文獻
    1. 林德威(1999)，兩稅合一制對台灣上市 (櫃) 股票除權除息行為影響之實證研究，臺灣大學財務金融學研究所碩士論文。
    2. 洪茂蔚、林宜勉、劉志諒(2007)，動能投資策略之獲利性與影響因素，中山管理評論，15(3)，515-546。
    3. 陳季青(2010)，財務受限與否應用於台股反向及動能交易策略之實證，淡江大學財務金融學系碩士在職專班學位論文。
    4. 陳彥霈(2012)，類別投資人交易行為，市場情緒，報酬與波動之關聯性-以台指期貨為例，中國文化大學國際企業管理學系碩士論文。
    5. 黃聖棠(2007)，台灣股市外資與動能投資策略，國立東華大學經濟學研究所博士論文。
    6. 蔡松蒝(2009)，指數股票型基金 (ETF) 之動能投資策略-以台灣 50 ETF 為例，國立成功大學財務金融研究所碩士論文。
    7. 蕭朝興、尤靜華、簡靖萱(2008)，台灣股市的動能效應投資人的下單策略， 交大管理學報，28(1)，131-168。
    8. 陳元昌. "具方向與波動性之股價動能投資策略." 成功大學財務金融研究所學位論文 (2006): 1-47.
    9. 曾國清. "台灣股市動能策略之探討-以台灣 中小型 100 成份股為例." 中興大學高階經理人碩士在職專班學位論文 (2010): 1-20.




    二、英文文獻
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    2. Chaubey, Y. P., (1993) "Resampling-based multiple testing: Examples and methods for p-value adjustment", Technometrics, Volume:35, 450-451.
    3. Cochrane, J. H., (1991), "Volatility tests and efficient markets: A review essay", Journal of Monetary Economics, Volume:27, Issue:3, 463-485.
    4. Duncan, D. B.,(1955), "Multiple range and multiple F tests", Biometrics, Volume:11, Issue:1, 1-42.
    5. Fama, E. F., (1998), "Market efficiency, long-term returns, and behavioral finance1", Journal of Financial Economics, Volume:49, Issue:3, 283-306.
    6. Fama, E. F. & K. R. French., (2004), "The capital asset pricing model: Theory and evidence", Journal of Economic Perspectives, Volume:18, Issue:3, 25-46.
    7. Gordon, J. N. & L. A. Kornhauser, (1985), "Efficient Markets, Costly Information, and Securities Research", New York University Law Review 761.
    8. Holburn, G. L. F. & B. A. Zelner, (2010), "Political capabilities, policy risk, and international investment strategy: Evidence from the global electric power generation industry", Strategic Management Journal, Volume:31, Issue:12, 1290-1315.
    9. Hong, H. & J. C. Stein, (1999), "A unified theory of underreaction, momentum trading, and overreaction in asset markets", The Journal of Finance, Volume:54, Issue:6, 2143-2184.
    10. Jegadeesh, N. & S. Titman, (2001), "Profitability of momentum strategies: An evaluation of alternative explanations", The Journal of Finance, Volume:56, Issue:2, 699-720.
    11. Jegadeesh, N. & S. Titman, (1993), "Returns to buying winners and selling losers: Implications for stock market efficiency", The Journal of Finance, Volume:48, Issue:1, 65-91.
    12. Jensen, M. C., F. Black & M. S. Scholes, (1972), "The capital asset pricing model: Some empirical tests", In M. C. Jensen (Ed.), Studies in the Theory of Capital Markets, pp. 79-121, New York Praeger.
    13. Kang, J., M. H. Liu & S. X. Ni, (2002), "Contrarian and momentum strategies in the China stock market: 1993–2000", Pacific-Basin Finance Journal, Volume:10, Issue:3, 243-265.
    14. Korajczyk, R. A. & R. Sadka, (2004), "Are momentum profits robust to trading costs?", The Journal of Finance, Volume:59, Issue:3, 1039-1082.
    15. Krippner, L., (2013), "Measuring the stance of monetary policy in zero lower bound environments", Economics Letters, Volume:118, Issue:1, 135-138.
    16. Lo, A. W. & A. C. MacKinlay, (1990), "When are contrarian profits due to stock market overreaction?", The Review of Financial Studies, Volume:3, Issue:2, 175-205.
    17. Lo, A. W., H. Mamaysky & J. Wang, (2000), "Foundations of technical analysis: Computational algorithms, statistical inference, and empirical implementation", The Journal of Finance, Volume:55, Issue:4, 1705-1765.
    18. Malkiel, B. G. & E. F. Fama, (1970), "Efficient capital markets: A review of theory and empirical work", The Journal of Finance, Volume:25, Issue:2, 383-417.
    19. Mamon, R. S., (2004), "Three ways to solve for bond prices in the Vasicek model", Advances in Decision Sciences, Volume:8, Issue:1, 1-14.
    20. Merton, R. C., (1973),"An intertemporal capital asset pricing model", Journal of the Econometric Society, 867-887.
    21. Moskowitz, T. J. & M. Grinblatt, (1999), "Do industries explain momentum?", The Journal of Finance, Volume:54, Issue:4, 1249-1290.
    22. Rouwenhorst, K. G., (1998), "International momentum strategies", The Journal of Finance, Volume:53, Issue:1, 267-284.
    23. Schiereck, D., W. De Bondt & M. Weber, (1999), "Contrarian and momentum strategies in Germany", Financial Analysts Journal, Volume:55, Issue:6, 104-116.
    24. Shefrin, H. & M. Statman, (1985), "The disposition to sell winners too early and ride losers too long: Theory and evidence", The Journal of Finance, Volume:40, Issue:3, 777-790.
    25. Siu, T. K., (2010), "Bond pricing under a Markovian regime-switching jump-augmented Vasicek model via stochastic flows", Applied Mathematics and Computation, Volume:11, 3184-3190.
    26. Stein, J. C., (1989), "Efficient capital markets, inefficient firms: A model of myopic corporate behavior", The Quarterly Journal of Economics, Volume:104, Issue:4, 655-669.
    27. Thaler, R. H., (2005), "Advances in behavioral finance II ", Thaler Russell Sage Foundation, New York.
    Description: 碩士
    國立政治大學
    經營管理碩士學程(EMBA)
    1039320381
    Source URI: http://thesis.lib.nccu.edu.tw/record/#G1039320381
    Data Type: thesis
    DOI: 10.6814/THE.NCCU.EMBA.089.2019.F08
    Appears in Collections:[經營管理碩士學程EMBA] 學位論文

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