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題名：商品期貨市場的過度反應、反應不足與動能策略之研究
作者：徐川皓 引用關係
作者(外文)：Chuan-Hao Hsu
校院名稱：逢甲大學
系所名稱：商學博士學位學程
指導教授：廖東亮
江怡蒨
學位類別：博士
出版日期：2014
主題關鍵詞：過度反應；反應不足；地緣政治風險；動能策略；隨機優勢；Overreaction；Underreaction；Geopolitical Risk；Momentum；Stochastic Dominance
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本文利用事件研究法探討商品期貨市場上的過度反應與反應不足，樣本包括軟性商品、穀類、肉類、金屬與能源。研究結果發現農作商品(軟性商品、穀類與肉類)具有反應不足之現象，而非農作商品(金屬與能源)則出現反應過度。即使在控制可能的干擾因子後，橫斷面分析也發現非農作商品，特別是針對正向事件而言，比農作產品更易有過度反應的價格行為。另一方面，針對標準的動能策略而言，發現贏家投資組合績效相對於輸家投資組合具有隨機優勢。
By using the event-study methodology, this study examines the overreaction and underreaction in the commodity futures markets, including softs, grains, livestocks, metals and energies. An underreaction phenomenon in agricultural commodities (softs, grains and livestocks) and an overreaction phenomenon in non-agricultural commodities (metals and energies) are found. Even after controlling for potentially confounding factors, the cross-sectional analysis confirms that the non-agricultural commodities, especially for the positive events, experience stronger degrees of overreaction than the agricultural commodities. In addition, there is a clear dominance of the winner portfolio over the loser portfolio with the stochastic dominance test for the standard momentum strategy that the ranking period is twelve months and the holding period is one month.
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