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題名 臺灣指數股票型基金的動能策略與反轉策略之實證研究
Momentum Strategy and Reversal Strategy in Taiwanese ETF market作者 林以涵
Lin, Yi-Han貢獻者 鍾令德
林以涵
Lin, Yi-Han關鍵詞 指數股票型基金
動能效應
反轉效應
Momentum effect
Reversal effect
Exchange traded funds日期 2021 上傳時間 1-Jul-2021 16:03:12 (UTC+8) 摘要 本研究以 2010 年至 2020 年的臺灣指數股票型基金的市場為例，參考Jegadeesh & Titman（1993）將資料期間依據其報酬率進行優劣排序，把指數型股票基金（ETF）分為「贏家」、「輸家」及其他，並透過「買進贏家、放空輸家」或「買進輸家、放空輸家」建構投資組合，觀察運用動能策略或反轉策略是否存在於臺灣的指數股票型基金市場中，並針對投資組合之特性（累計報酬率、回撤情形、夏普比率）進行分析。 實證結果顯示，運用每日再平衡的反轉策略能成功在臺灣指數股票型基金之市場獲得超額報酬，每週再平衡的反轉策略則失敗，顯示反轉效應存在於短期市場中，投資人能藉市場長期存在的短期反轉效應來獲得超額報酬，惟此反轉策略可能在市場波動劇烈的時間失效，並牽涉較高的交易成本，故透過臺指選擇權波動率指數進行投資策略優化，判斷策略使用時機，降低投資組合的最大策略虧損，讓投資組合的表現更穩定，獲得更高的累計報酬率。
This thesis studies the performance of momentum and reversal strategies in the Taiwanese exchange traded funds (ETF) market from 2010 to 2020. Following Jegadeesh & Titman (1993), through “buy winners and short losers” or “buy losers and short losers”, I test whether the momentum effect or the reversal effect exists in the Taiwanese ETF market. In addition, I would analyze the characteristics of the investment portfolio including cumulative returns, drawdowns and Sharpe ratios.The empirical study reveals that the reversal strategy works only in daily frequency while momentum effects do not exist in the Taiwanese ETF market. Despiteits significant positive average return, the reversal strategy may experience large drawdowns and entail large transaction costs. To improve strategy performance, Iutilize the Taiwan VIX as a tool to avoid reversal crashes and reduce the maximum drawdown of portfolios, thus improving the stability of portfolio returns.參考文獻 期刊論文Abarbanell, J. S., & Bernard, V. L. (1992). Tests of analysts` overreaction / underreaction to earnings information as an explanation for anomalous stock pricebehavior. The Journal of Finance, 47(3), 1181-1207.Asness, C., Frazzini, A., Israel, R., & Moskowitz, T. (2014). Fact, fiction, and momentum investing. The Journal of Portfolio Management, 40(5), 75-92.Banz, R. W. (1981). The relationship between return and market value of common stocks. Journal of Financial Economics, 9(1), 3-18.Chan, K., Hameed, A., & Tong, W. (2000). Profitability of momentum strategies in the international equity markets. Journal of Financial and Quantitative Analysis, 153-172.Daniel, K., & Moskowitz, T. J. (2016). Momentum crashes. Journal of Financial Economics, 122(2), 221-247.Daniel, K., & Titman, S. (1999). Market efficiency in an irrational world. Financial Analysts Journal, 55(6), 28-40.Doeswijk, R., & van Vliet, P. (2011). Global tactical sector allocation: A quantitative approach. The Journal of Portfolio Management, 38(1), 29-47.Fama, E. F. (1995). Random walks in stock market prices. Financial Analysts Journal, 51(1), 75-80.Geczy, C., & Samonov, M. (2013). 212 Years of Price Momentum (The World’s Longest Backtest: 1801–2012). Available at SSRN.Jegadeesh, N., & Titman, S. (1993). Returns to buying winners and selling losers:Implications for stock market efficiency. The Journal of Finance, 48(1), 65-91.36Jegadeesh, N., & Titman, S. (2001). Profitability of momentum strategies: An evaluation of alternative explanations. The Journal of Finance, 56(2), 699-720.Malkiel, B. G., & Fama, E. F. (1970). Efficient capital markets: A review of theory and empirical work. The Journal of Finance, 25(2), 383-417.Petajisto, A. (2017). Inefficiencies in the pricing of exchange-traded funds. Financial Analysts Journal, 73(1), 24-54.Rosenberg, B., Reid, K., & Lanstein, R. (1985). Persuasive evidence of market inefficiency. The Journal of Portfolio Management, 11(3), 9-16.Stout, L. A. (2002). The mechanisms of market inefficiency : An introduction to the new finance. J. Corp. L., 28, 635.Vayanos, D., & Woolley, P. (2013). An institutional theory of momentum and reversal. The Review of Financial Studies, 26(5), 1087-1145.Zhang, X. F. (2006). Information uncertainty and stock returns. The Journal of Finance, 61(1), 105-137.網際網路2021 Global ETF Investor Survey, Retrieved April 10, 2021, from: https://www.bbh.com/us/en/insights/investor-services-insights/2021-global-etf-survey.html臺灣投信投顧公會境內基金統計資料, Retrieved April 10, 2021, from:https://www.sitca.org.tw/ROC/Industry/IN2001.aspx?PGMID=IN0201 描述 碩士
國立政治大學
國際經營與貿易學系
108351015資料來源 http://thesis.lib.nccu.edu.tw/record/#G0108351015 資料類型 thesis dc.contributor.advisor 鍾令德 zh_TW dc.contributor.author (Authors) 林以涵 zh_TW dc.contributor.author (Authors) Lin, Yi-Han en_US dc.creator (作者) 林以涵 zh_TW dc.creator (作者) Lin, Yi-Han en_US dc.date (日期) 2021 en_US dc.date.accessioned 1-Jul-2021 16:03:12 (UTC+8) - dc.date.available 1-Jul-2021 16:03:12 (UTC+8) - dc.date.issued (上傳時間) 1-Jul-2021 16:03:12 (UTC+8) - dc.identifier (Other Identifiers) G0108351015 en_US dc.identifier.uri (URI) http://nccur.lib.nccu.edu.tw/handle/140.119/135897 - dc.description (描述) 碩士 zh_TW dc.description (描述) 國立政治大學 zh_TW dc.description (描述) 國際經營與貿易學系 zh_TW dc.description (描述) 108351015 zh_TW dc.description.abstract (摘要) 本研究以 2010 年至 2020 年的臺灣指數股票型基金的市場為例，參考Jegadeesh & Titman（1993）將資料期間依據其報酬率進行優劣排序，把指數型股票基金（ETF）分為「贏家」、「輸家」及其他，並透過「買進贏家、放空輸家」或「買進輸家、放空輸家」建構投資組合，觀察運用動能策略或反轉策略是否存在於臺灣的指數股票型基金市場中，並針對投資組合之特性（累計報酬率、回撤情形、夏普比率）進行分析。 實證結果顯示，運用每日再平衡的反轉策略能成功在臺灣指數股票型基金之市場獲得超額報酬，每週再平衡的反轉策略則失敗，顯示反轉效應存在於短期市場中，投資人能藉市場長期存在的短期反轉效應來獲得超額報酬，惟此反轉策略可能在市場波動劇烈的時間失效，並牽涉較高的交易成本，故透過臺指選擇權波動率指數進行投資策略優化，判斷策略使用時機，降低投資組合的最大策略虧損，讓投資組合的表現更穩定，獲得更高的累計報酬率。 zh_TW dc.description.abstract (摘要) This thesis studies the performance of momentum and reversal strategies in the Taiwanese exchange traded funds (ETF) market from 2010 to 2020. Following Jegadeesh & Titman (1993), through “buy winners and short losers” or “buy losers and short losers”, I test whether the momentum effect or the reversal effect exists in the Taiwanese ETF market. In addition, I would analyze the characteristics of the investment portfolio including cumulative returns, drawdowns and Sharpe ratios.The empirical study reveals that the reversal strategy works only in daily frequency while momentum effects do not exist in the Taiwanese ETF market. Despiteits significant positive average return, the reversal strategy may experience large drawdowns and entail large transaction costs. To improve strategy performance, Iutilize the Taiwan VIX as a tool to avoid reversal crashes and reduce the maximum drawdown of portfolios, thus improving the stability of portfolio returns. en_US dc.description.tableofcontents 第一章 緒論 1第一節 研究背景 1第二節 研究動機 3第二章 文獻回顧 4第一節 效率市場假說與爭論 4第二節 動能因子與迷思 5第三章 研究方法 7第一節 資料介紹 7第二節 動能策略及反轉策略 10第四章 實證結果 12第一節 策略結果 12第二節 投資組合之特性分析 15第三節 投資組合之策略優化 26第五章 結論與研究限制 33第六章 參考資料 35 zh_TW dc.format.extent 3762431 bytes - dc.format.mimetype application/pdf - dc.source.uri (資料來源) http://thesis.lib.nccu.edu.tw/record/#G0108351015 en_US dc.subject (關鍵詞) 指數股票型基金 zh_TW dc.subject (關鍵詞) 動能效應 zh_TW dc.subject (關鍵詞) 反轉效應 zh_TW dc.subject (關鍵詞) Momentum effect en_US dc.subject (關鍵詞) Reversal effect en_US dc.subject (關鍵詞) Exchange traded funds en_US dc.title (題名) 臺灣指數股票型基金的動能策略與反轉策略之實證研究 zh_TW dc.title (題名) Momentum Strategy and Reversal Strategy in Taiwanese ETF market en_US dc.type (資料類型) thesis en_US dc.relation.reference (參考文獻) 期刊論文Abarbanell, J. S., & Bernard, V. L. (1992). Tests of analysts` overreaction / underreaction to earnings information as an explanation for anomalous stock pricebehavior. The Journal of Finance, 47(3), 1181-1207.Asness, C., Frazzini, A., Israel, R., & Moskowitz, T. (2014). Fact, fiction, and momentum investing. The Journal of Portfolio Management, 40(5), 75-92.Banz, R. W. (1981). The relationship between return and market value of common stocks. Journal of Financial Economics, 9(1), 3-18.Chan, K., Hameed, A., & Tong, W. (2000). Profitability of momentum strategies in the international equity markets. Journal of Financial and Quantitative Analysis, 153-172.Daniel, K., & Moskowitz, T. J. (2016). Momentum crashes. Journal of Financial Economics, 122(2), 221-247.Daniel, K., & Titman, S. (1999). Market efficiency in an irrational world. Financial Analysts Journal, 55(6), 28-40.Doeswijk, R., & van Vliet, P. (2011). Global tactical sector allocation: A quantitative approach. The Journal of Portfolio Management, 38(1), 29-47.Fama, E. F. (1995). Random walks in stock market prices. Financial Analysts Journal, 51(1), 75-80.Geczy, C., & Samonov, M. (2013). 212 Years of Price Momentum (The World’s Longest Backtest: 1801–2012). Available at SSRN.Jegadeesh, N., & Titman, S. (1993). Returns to buying winners and selling losers:Implications for stock market efficiency. The Journal of Finance, 48(1), 65-91.36Jegadeesh, N., & Titman, S. (2001). Profitability of momentum strategies: An evaluation of alternative explanations. The Journal of Finance, 56(2), 699-720.Malkiel, B. G., & Fama, E. F. (1970). Efficient capital markets: A review of theory and empirical work. The Journal of Finance, 25(2), 383-417.Petajisto, A. (2017). Inefficiencies in the pricing of exchange-traded funds. Financial Analysts Journal, 73(1), 24-54.Rosenberg, B., Reid, K., & Lanstein, R. (1985). Persuasive evidence of market inefficiency. The Journal of Portfolio Management, 11(3), 9-16.Stout, L. A. (2002). The mechanisms of market inefficiency : An introduction to the new finance. J. Corp. L., 28, 635.Vayanos, D., & Woolley, P. (2013). An institutional theory of momentum and reversal. The Review of Financial Studies, 26(5), 1087-1145.Zhang, X. F. (2006). Information uncertainty and stock returns. The Journal of Finance, 61(1), 105-137.網際網路2021 Global ETF Investor Survey, Retrieved April 10, 2021, from: https://www.bbh.com/us/en/insights/investor-services-insights/2021-global-etf-survey.html臺灣投信投顧公會境內基金統計資料, Retrieved April 10, 2021, from:https://www.sitca.org.tw/ROC/Industry/IN2001.aspx?PGMID=IN0201 zh_TW dc.identifier.doi (DOI) 10.6814/NCCU202100522 en_US
