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題名：報酬率均值不對稱反轉型態、跨市場效應與反向投資策略之研究－ANST-GARCH模型
作者：盧智強
作者(外文)：Lu, Chih-Chiang
校院名稱：國立臺北大學
系所名稱：企業管理學系
指導教授：古永嘉
學位類別：博士
出版日期：2004
主題關鍵詞：均值不對稱反轉；跨市場效應；槓桿效果；不對稱外溢效果；反向投資；ANST-GARCH；Asymmetric Mean-Reversion；Inter-Market Effect；Leverage Effect；Asymmetric Spillover；Contrarian；ANST-GARCH
原始連結：連回原系統網址new window
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反向投資策略的獲利性是否存在或其來源為何，顯然其獲利性與報酬率均值反轉的行為（the Mean-Reverting Behavior）有關，但過去的文獻卻極少以報酬率動態時間序列的特性來探討反向投資策略的獲利性，而多著重於解釋反向投資策略獲利性的來源或爭議、如何有效建立輸家贏家投資組合及報酬率計算上偏誤等問題。本研究有別於這些過去文獻的研究方法，主要利用時間序列模式中允許條件均值及條件變異數方程式同時具有槓桿效果的ANST-GARCH模型，藉以探討上市、上櫃與指數期貨市場之月、週與日超額報酬率及其波動性的動態過程，是否存在不對稱的反轉型態及探討此型態之影響因素，進而推論驗證此現象為反向投資策略獲利性的來源之一。
另外，本研究更發展雙變量ANST-GARCH 模型架構，除用來分析三市場兩兩間日超額報酬率的動態過程是否存在自身序列相關與波動性不對稱型態之外，亦可探討三市場超額報酬率兩兩間跨市場傳遞效果與波動性外溢效果是否存在不對稱的現象。
研究結果發現：1.上市與上櫃市場指數月、週與日超額報酬率確實存在不對稱的持續性型態，而指數期貨卻只有日超額報酬率存在不對稱的現象。另外，除指數期貨月超額報酬之外，其餘序列波動性均存在槓桿效果。2. 在時間變異的期望假說之下，上市與上櫃現貨市場月超額報酬及上市現貨市場週超額報酬不對稱反轉型態依然顯著；而三市場之日超額報酬與上櫃市場週超額報酬序列的不對稱反轉型態可由時間變異的理性期望假說來解釋。3.資料頻率長短與波動性效果之間的實證關係有高度的敏感性，相對其不對稱反轉的動態過程因資料頻率的長短而有不同的速度。4.考慮「一月、二月效應」及「星期效應」或「交易量變動率」等因素時，因市場效率的不同及資料頻率長短的不同其不對稱反轉現象亦有不同的呈現。5.上市、上櫃現貨市場以月作為反向投資期間的選定較為適當，而台股指數期貨市場以日資料作為向投資策略上短期操作的期間較為適當。6.反向投資策略以「日」作為投資期間時，雖然不對稱反轉的速度與強度比「月」及「週」的投資期間相較之下較弱，但仍可考慮跨市場資訊傳遞與外溢效果不對稱的影響。當以上市現貨作為投資標的物時，可以期指前期正面訊息下之報酬率作為領先指標；而若以期指作為投資標的物時，可考量上市現貨及上櫃現貨市場前期正面或負面訊息之下，其報酬率不對稱的解釋（預測）能力。
Although the profitability of contrarian is obviously related to the Mean-Reverting Behavior of return, few theses have explored it in terms of dynamic time series but elaborated on where it comes forth, how winner-loser investment combinations are successfully set up, or why difference persists in return calculation.
This paper stands out in that it adopts time series ANST-GARCH model, which features a leverage effect in both conditional mean and conditional variance equations, to investigate whether asymmetric reverting pattern can be developed in monthly, weekly, and daily excess return and in volatility dynamic process of TSEC, OTC, TAIEX future markets, to examine the factors behind it, and to further established it as one of the sources of contrarian.
In this paper, a great effort also goes to fashion a bivariate ANST-GARCH model to analyze if, in each two of the 3 markets, the dynamic process of daily excess return exhibits autocorrelation or volatility asymmetric reverting pattern and if this pattern exists in inter-market transmission and volatility spillover.
The results are as follows:
1.All monthly, weekly, and daily excess returns for both TSEC and OTC show persistent asymmetric reverting pattern while only daily excess return for TAIEX future shows the same pattern. Besides, leverage effect goes with the volatility of all series except for monthly excess return of TAIEX future.
2.Under time varying rational expectation hypothesis, the daily excess return for both TSEC and OTC and the weekly excess return for listed stocks still display asymmetric reverting pattern. The asymmetric return pattern of daily excess return for all three markets and the weekly return for OTC can be explained by rational expectation hypothesis.
3.The empirical relationship between data frequency interval and volatility effect is highly sensitive, where the dynamic process speed varies with the interval.
4.When factors like Jan. & Feb. effect, the day-of-the-week effect or trade volume rate is considered, the asymmetric reverting pattern varies with data frequency interval and market efficiency.
5.A month-interval is recommended for contrarian in TSEC and OTC, whereas a shorter daily strategy is preferred for TAIEX future operation.
6.When contrarian is practiced on a daily basis, the inter-market data transmission and spillover effect on asymmetry can still be a reference although with less strength and speed than on a monthly or weekly basis. When TSEC is targeted the prior TAIEX future return over positive information can serve as a leading indicator. As for TAIEX future investment the explainability (predictability) of return asymmetry over either positive or negative information for TSEC and OTC can be put into consideration.
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