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題名 日本股市價格動能與流動性交易策略之研究
Price Momentum and Trading Volume Strategies in Japan Stock Market作者 吳怡蓁
Wu, Yi-Chen貢獻者 林靖庭
吳怡蓁
Wu, Yi-Chen關鍵詞 動能
交易量
逆勢策略
流動性
金融危機
日本股市
新冠肺炎
Momentum
Volume
Contrarian strategies
Liquidity
Financial crisis
Japan stock market
COVID-19日期 2022 上傳時間 1-Jul-2022 16:10:00 (UTC+8) 摘要 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.參考文獻 1. 胡星陽 (1998)，流動性對台灣股票報酬率的影響，中國財務學刊，第5卷第4期，頁1-19。2. Asness, C. (2011). Momentum in Japan: The exception that proves the rule. The Journal of Portfolio Management, 37(4), 67-75.3. Asness, C., Moskowitz, T., and Pedersen, L. (2013). Value and Momentum Everywhere. The Journal Of Finance, 68(3), 929-985.4. Barroso, P., and Santa-Clara, P. (2015). Momentum has its moments. Journal Of Financial Economics, 116(1), 111-120.5. Chan, K. (1988). On the Contrarian Investment Strategy. The Journal Of Business, 61(2), 147.6. Chou, P., Wei, K., and Chung, H. (2007). Sources of Contrarian Profits In the Japanese Stock Market. Journal Of Empirical Finance, 14(3), 261-286.7. Chui, A., Titman, S., and Wei, K. (2010). Individualism and Momentum Around the World. The Journal Of Finance, 65(1), 361-392.8. Datar, V., Y. Naik, N., and Radcliffe, R. (1998). Liquidity and Stock Returns: An Alternative Test. Journal Of Financial Markets, 1(2), 203-219.9. De Bondt, W., and Thaler, R. (1985). Does the Stock Market Overreact?. The Journal Of Finance, 40(3), 793-805.10. De Bondt, W., and Thaler, R. (1987). Further Evidence On Investor Overreaction and Stock Market Seasonality. The Journal Of Finance, 42(3), 557-581.11. Fama, E. (1970). Efficient Capital Markets: A Review of Theory and Empirical Work. The Journal Of Finance, 25(2), 383.12. Fama, E., and French, K. (2012). Size, value, and momentum in international stock returns. Journal Of Financial Economics, 105(3), 457-472.13. Fama, E., and MacBeth, J. (1973). Risk, Return, and Equilibrium: Empirical Tests. Journal Of Political Economy, 81(3), 607-636.14. Hanauer, M. (2014). Is Japan Different? Evidence on Momentum and Market Dynamics. International Review Of Finance, 14(1), 141-160.15. Iihara, Y., Kato, H., and Tokunaga, T. (2003). The Winner-Loser Effect in Japanese Stock Returns. Japan And The World Economy, 16(4), 471-485.16. Ince, O., and Porter, R. (2006). Individual Equity Return Data from Thomson Datastream: Handle with Care!. Journal Of Financial Research, 29(4), 463-479.17. Jegadeesh, N., and Titman, S. (1993). Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency. The Journal Of Finance, 48(1), 65-91.18. Jegadeesh, N., and Titman, S. (2001). Profitability of Momentum Strategies: An Evaluation of Alternative Explanations. The Journal Of Finance, 56(2), 699-720.19. Kahneman, D., and Tversky, A. (1982). The Psychology of Preferences. Scientific American, 246(1), 160–173.20. Lee, C., and Swaminathan, B. (2000). Price Momentum and Trading Volume. The Journal Of Finance, 55(5), 2017-2069.21. Rouwenhorst, K. (1998). International Momentum Strategies. The Journal Of Finance, 53(1), 267-284.22. Zarowin, P. (1990). Size, Seasonality, and Stock Market Overreaction. The Journal Of Financial And Quantitative Analysis, 25(1), 113. 描述 碩士
國立政治大學
金融學系
109352014資料來源 http://thesis.lib.nccu.edu.tw/record/#G0109352014 資料類型 thesis dc.contributor.advisor 林靖庭 zh_TW dc.contributor.author (Authors) 吳怡蓁 zh_TW dc.contributor.author (Authors) Wu, Yi-Chen en_US dc.creator (作者) 吳怡蓁 zh_TW dc.creator (作者) Wu, Yi-Chen en_US dc.date (日期) 2022 en_US dc.date.accessioned 1-Jul-2022 16:10:00 (UTC+8) - dc.date.available 1-Jul-2022 16:10:00 (UTC+8) - dc.date.issued (上傳時間) 1-Jul-2022 16:10:00 (UTC+8) - dc.identifier (Other Identifiers) G0109352014 en_US dc.identifier.uri (URI) http://nccur.lib.nccu.edu.tw/handle/140.119/140601 - dc.description (描述) 碩士 zh_TW dc.description (描述) 國立政治大學 zh_TW dc.description (描述) 金融學系 zh_TW dc.description (描述) 109352014 zh_TW dc.description.abstract (摘要) 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。 zh_TW dc.description.abstract (摘要) 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. en_US dc.description.tableofcontents 第一章 緒論 1第二章 文獻探討 5第三章 資料與研究方法 7第四章 實證結果 10一、價格動能交易策略 10二、將交易量因子加入價格動能交易策略 12（一）1990年至2021年日本股市 12（二）橫斷面迴歸模型 15（三）金融海嘯及COVID-19期間 16（四）以產業區分—舉資訊軟體業、建築及材料業、零售業為例 19第五章 穩定性測試 23一、將原樣本區間切成多個子區間 23二、改變樣本期間 23三、改變分組方式 24第六章 結論 25參考文獻 27 zh_TW dc.format.extent 4568119 bytes - dc.format.mimetype application/pdf - dc.source.uri (資料來源) http://thesis.lib.nccu.edu.tw/record/#G0109352014 en_US dc.subject (關鍵詞) 動能 zh_TW dc.subject (關鍵詞) 交易量 zh_TW dc.subject (關鍵詞) 逆勢策略 zh_TW dc.subject (關鍵詞) 流動性 zh_TW dc.subject (關鍵詞) 金融危機 zh_TW dc.subject (關鍵詞) 日本股市 zh_TW dc.subject (關鍵詞) 新冠肺炎 zh_TW dc.subject (關鍵詞) Momentum en_US dc.subject (關鍵詞) Volume en_US dc.subject (關鍵詞) Contrarian strategies en_US dc.subject (關鍵詞) Liquidity en_US dc.subject (關鍵詞) Financial crisis en_US dc.subject (關鍵詞) Japan stock market en_US dc.subject (關鍵詞) COVID-19 en_US dc.title (題名) 日本股市價格動能與流動性交易策略之研究 zh_TW dc.title (題名) Price Momentum and Trading Volume Strategies in Japan Stock Market en_US dc.type (資料類型) thesis en_US dc.relation.reference (參考文獻) 1. 胡星陽 (1998)，流動性對台灣股票報酬率的影響，中國財務學刊，第5卷第4期，頁1-19。2. Asness, C. (2011). Momentum in Japan: The exception that proves the rule. The Journal of Portfolio Management, 37(4), 67-75.3. Asness, C., Moskowitz, T., and Pedersen, L. (2013). Value and Momentum Everywhere. The Journal Of Finance, 68(3), 929-985.4. Barroso, P., and Santa-Clara, P. (2015). Momentum has its moments. Journal Of Financial Economics, 116(1), 111-120.5. Chan, K. (1988). On the Contrarian Investment Strategy. The Journal Of Business, 61(2), 147.6. Chou, P., Wei, K., and Chung, H. (2007). Sources of Contrarian Profits In the Japanese Stock Market. Journal Of Empirical Finance, 14(3), 261-286.7. Chui, A., Titman, S., and Wei, K. (2010). Individualism and Momentum Around the World. The Journal Of Finance, 65(1), 361-392.8. Datar, V., Y. Naik, N., and Radcliffe, R. (1998). Liquidity and Stock Returns: An Alternative Test. Journal Of Financial Markets, 1(2), 203-219.9. De Bondt, W., and Thaler, R. (1985). Does the Stock Market Overreact?. The Journal Of Finance, 40(3), 793-805.10. De Bondt, W., and Thaler, R. (1987). Further Evidence On Investor Overreaction and Stock Market Seasonality. The Journal Of Finance, 42(3), 557-581.11. Fama, E. (1970). Efficient Capital Markets: A Review of Theory and Empirical Work. The Journal Of Finance, 25(2), 383.12. Fama, E., and French, K. (2012). Size, value, and momentum in international stock returns. Journal Of Financial Economics, 105(3), 457-472.13. Fama, E., and MacBeth, J. (1973). Risk, Return, and Equilibrium: Empirical Tests. Journal Of Political Economy, 81(3), 607-636.14. Hanauer, M. (2014). Is Japan Different? Evidence on Momentum and Market Dynamics. International Review Of Finance, 14(1), 141-160.15. Iihara, Y., Kato, H., and Tokunaga, T. (2003). The Winner-Loser Effect in Japanese Stock Returns. Japan And The World Economy, 16(4), 471-485.16. Ince, O., and Porter, R. (2006). Individual Equity Return Data from Thomson Datastream: Handle with Care!. Journal Of Financial Research, 29(4), 463-479.17. Jegadeesh, N., and Titman, S. (1993). Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency. The Journal Of Finance, 48(1), 65-91.18. Jegadeesh, N., and Titman, S. (2001). Profitability of Momentum Strategies: An Evaluation of Alternative Explanations. The Journal Of Finance, 56(2), 699-720.19. Kahneman, D., and Tversky, A. (1982). The Psychology of Preferences. Scientific American, 246(1), 160–173.20. Lee, C., and Swaminathan, B. (2000). Price Momentum and Trading Volume. The Journal Of Finance, 55(5), 2017-2069.21. Rouwenhorst, K. (1998). International Momentum Strategies. The Journal Of Finance, 53(1), 267-284.22. Zarowin, P. (1990). Size, Seasonality, and Stock Market Overreaction. The Journal Of Financial And Quantitative Analysis, 25(1), 113. zh_TW dc.identifier.doi (DOI) 10.6814/NCCU202200567 en_US
