日本股市價格動能與流動性交易策略之研究

Abstract

過去許多學者發現投資人可從動能策略或逆勢策略中得到超額報酬。本研究即發現日本股市「不存在」動能現象，日本股市的投資人對於市場消息往往存在過度反應的現象，故逆勢投資策略是可行的，即買入過去報酬表現較差的股票、賣出過去表現較好的股票，能獲得正的超額報酬。又因低交易量投資組合的報酬率皆高於高交易量的投資組合，即流動性溢酬存在，交易策略可進而延伸到「買入低成交量的輸家、賣出高成交量的贏家」，此策略於日本股市可得到相對更高之超額報酬。另探討2008年金融危機及2020年COVID-19新冠疫情兩事件發生期間動能之表現，實證結果得出動能大致上仍不存在，然而，流動性溢酬皆消失，意謂著於股市恐慌期間，成交量失去原來傳遞資訊之功能。

It has been established by many studies that investors can acquire excess return from momentum strategies or contrarian strategies. This paper discovers that momentum of Japan stock market is non-existent. Investors of Japan stock market are often over-reactive to market information, which rationalizes the feasibility of contrarian strategies. In other words, through buying in stocks with inferior past return performance and selling out that with superior return performance, excess return could be expected. In addition, low-volume portfolio has higher rate of return than high-volume portfolio, which indicates the existence of liquidity premium, and strategies can be further extended to a conclusion of “buying in low-volume losers while selling out high-volume winners”, a strategy that yields relatively high excess return in Japan stock market. We also discuss the momentum performance during 2008 financial crisis and 2020 COVID-19 Pandemic, and conclude that momentum generally does not exist but so does liquidity premium, indicating that during market panic period, volume may lose its function in delivering information.