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題名：動能策略與反向策略績效之研究：以台灣證券市場為例
作者：王癸元 引用關係
作者(外文)：Kuei-yuan Wang
校院名稱：國立臺灣科技大學
系所名稱：企業管理系
指導教授：黃彥聖
學位類別：博士
出版日期：2008
主題關鍵詞：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；momentum strategy；contrarian strategy；intraday；relative strength；market state；Taiwan 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.
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