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題名 以技術指標預測台股橫斷面期望報酬
Cross-sectional return predictability of technical indicators in Taiwan
作者 王郁涵
Wang, Yu-Han
貢獻者 鍾令德
Chung, Ling-De
王郁涵
Wang, Yu-Han
關鍵詞 技術指標
動能策略
季節性效應
Technical indicator
Momentum strategy
Seasonality effect
日期 2022
上傳時間 1-Aug-2022 17:03:49 (UTC+8)
摘要 本研究主要參考Chen and Zimmermann (2021) 使用的所有特徵中，與價格相關的其中 19 個技術面特徵，其中包括5個波動度、9個價格動能、4個季節性與1個交易量相關特徵，並將這些特徵運用於台股市場中，主要分為全部台股市場普通股與上市個股兩個樣本進行探討。實證結果主要有以下四項：第一，波動度相關特徵中，以特質波動度與前月最大單日報酬作為特徵，該特徵與投資組合的平均報酬呈現正向關係，與美股市場實證研究結果方向相反。第二，台股市場並無顯著價格動能效應，與美股實證結果不同，然而，長期而言，台股市場價格動能會產生顯著長期反轉跡象。第三，若以過去長期的同月報酬作為特徵，則台股市場存在顯著的季節性效應。第四，台股市場中，低交易量的動能投資平均報酬皆較高交易量者高，此結果與美股市場實證結果不一致。
This study investigates the investment performance of 19 technical indicators summarized by Chen and Zimmermann (2021) in the Taiwan stock market. These technical indicators comprise five volatility estimates, nine price momentum measures, four seasonality signals, and one volume-related attribute. The backtesting sample covers all ordinary stocks on the Taiwan Stock Exchange (TWSE) from 1981 until 2021. There are four main empirical findings: First, regarding volatility estimates, idiosyncratic volatility and the maximum daily return are positively related to the following month’s stock returns, which are at odds with the empirical findings in the US stock market. Second, inconsistent with the strong momentum effect in the US , the Taiwan stock market does not yield significant abnormal returns from momentum strategies. That said, over a longer time horizon, Taiwanese stocks experience significant return reversals that are consistent with the long-run reversal effect. Third, using the historical same-month returns as trading signals, Taiwanese stocks exhibit significant seasonality effects. Fourth, in contrast to the finding in the US market, price momentum is only profound among low turnover stocks while insignificant among high turnover stocks in Taiwan.
參考文獻 王永宏、趙學軍 (2001)。中國股市慣性策略和反轉策略的實證分析，證券市場導報，2001年6月號，28-33。
史永東、宋溪偉、谷佳音 (2016)。企業投資、股票收益期限結構和動量投資策略—基於中國股票市場的經驗證據，證券市場導報，2016年8月號，40-48。
洪茂蔚、林宜勉、劉志諒 (2007)，動能投資策略之獲利性與影響因素，中山管理評論，第15卷第3期，515-546。
胡銘顯、陳獻儀 (2012)，國際動能策略與景氣循環風險：由季節性型態觀察之，臺大管理論叢，第22卷第2期，277-308。
Ali, A., Hwang, L. S., & Trombley, M. A. (2003). Arbitrage risk and the book-to-market anomaly. Journal of Financial Economics, 69(2), 355-373.
Ang, A., Hodrick, R. J., Xing, Y., & Zhang, X. (2006). The cross‐section of volatility and expected returns. The Journal of Finance, 61(1), 259-299.
Bali, T. G., Cakici, N., & Whitelaw, R. F. (2011). Maxing out: Stocks as lotteries and the cross-section of expected returns. Journal of Financial Economics, 99(2), 427-446.
Bali, T. G., Engle, R. F., & Murray, S. (2016). Empirical asset pricing: The cross section of stock returns. John Wiley & Sons.
Barberis, N., Shleifer, A., & Vishny, R. (1998). A model of investor sentiment. Journal of Financial Economics, 49(3), 307-343.
Blitz, D., Huij, J., & Martens, M. (2011). Residual momentum. Journal of Empirical Finance, 18(3), 506-521.
Blitz, D., Hanauer, M. X., Vidojevic, M., & Van Vliet, P. (2018). Five concerns with the five-factor model. The Journal of Portfolio Management, 44(4), 71-78.
Chen, A. Y., & Zimmermann, T. (2021). Open source cross-sectional asset pricing. Critical Finance Review, Forthcoming.
Choi, S. M., & Kim, H. (2014). Momentum effect as part of a market equilibrium. Journal of Financial and Quantitative Analysis, 49(1), 107-130.
Choi, S. M., & Kim, H. (2014). Momentum effect as part of a market equilibrium. Journal of Financial and Quantitative Analysis, 49(1), 107-130..
Conrad, J., & Kaul, G. (1998). An anatomy of trading strategies. The Review of Financial Studies, 11(3), 489-519.
Daniel, K., Hirshleifer, D., & Subrahmanyam, A. (1998). Investor psychology and security market under‐and overreactions. The Journal of Finance, 53(6), 1839-1885.
De Bondt, W. F., & Thaler, R. (1985). Does the stock market overreact? The Journal of Finance, 40(3), 793-805.
Fama, E. F. (1970). Efficient capital markets: A review of theory and empirical work. The Journal of Finance, 25(2), 383-417.
Fama, E. F., & French, K. R. (1993). Common risk factors in the returns on stocks and bonds. Journal of Financial Economics, 33(1), 3-56.
George, T. J., & Hwang, C. Y. (2004). The 52‐week high and momentum investing. The Journal of Finance, 59(5), 2145-2176.
Griffin, J. M., Ji, X., & Martin, J. S. (2003). Momentum investing and business cycle risk: Evidence from pole to pole. The Journal of Finance, 58(6), 2515-2547.
Grinblatt, M., & Moskowitz, T. J. (1999). Do industries explain momentum?. The Journal of Finance, 54(4), 1249-1290.
Heston, S. L., & Sadka, R. (2008). Seasonality in the cross-section of stock returns. Journal of Financial Economics, 87(2), 418-445.
Jegadeesh, N. (1990). Evidence of predictable behavior of security returns. The Journal of Finance, 45(3), 881-898.
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.
Jegadeesh, N., & Titman, S. (2001). Profitability of momentum strategies: An evaluation of alternative explanations. The Journal of Finance, 56(2), 699-720.
Johnson, T. C. (2002). Rational momentum effects. The Journal of Finance, 57(2), 585-608.
Lee, C. M., & Swaminathan, B. (2000). Price momentum and trading volume. The Journal of Finance, 55(5), 2017-2069.
Levy, R. A. (1967). Relative strength as a criterion for investment selection. The Journal of Finance, 22(4), 595-610.
Murphy, J. J. (1999). Technical analysis of the financial markets: A comprehensive guide to trading methods and applications. Penguin.
Novy-Marx, R. (2012). Is momentum really momentum?, Journal of Financial Economics, 103(3), 429-453.
描述 碩士
國立政治大學
國際經營與貿易學系
109351006
資料來源 http://thesis.lib.nccu.edu.tw/record/#G0109351006
資料類型 thesis
dc.contributor.advisor 鍾令德zh_TW
dc.contributor.advisor Chung, Ling-Deen_US
dc.contributor.author (Authors) 王郁涵zh_TW
dc.contributor.author (Authors) Wang, Yu-Hanen_US
dc.creator (作者) 王郁涵zh_TW
dc.creator (作者) Wang, Yu-Hanen_US
dc.date (日期) 2022en_US
dc.date.accessioned 1-Aug-2022 17:03:49 (UTC+8)-
dc.date.available 1-Aug-2022 17:03:49 (UTC+8)-
dc.date.issued (上傳時間) 1-Aug-2022 17:03:49 (UTC+8)-
dc.identifier (Other Identifiers) G0109351006en_US
dc.identifier.uri (URI) http://nccur.lib.nccu.edu.tw/handle/140.119/140968-
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) 109351006zh_TW
dc.description.abstract (摘要) 本研究主要參考Chen and Zimmermann (2021) 使用的所有特徵中，與價格相關的其中 19 個技術面特徵，其中包括5個波動度、9個價格動能、4個季節性與1個交易量相關特徵，並將這些特徵運用於台股市場中，主要分為全部台股市場普通股與上市個股兩個樣本進行探討。實證結果主要有以下四項：第一，波動度相關特徵中，以特質波動度與前月最大單日報酬作為特徵，該特徵與投資組合的平均報酬呈現正向關係，與美股市場實證研究結果方向相反。第二，台股市場並無顯著價格動能效應，與美股實證結果不同，然而，長期而言，台股市場價格動能會產生顯著長期反轉跡象。第三，若以過去長期的同月報酬作為特徵，則台股市場存在顯著的季節性效應。第四，台股市場中，低交易量的動能投資平均報酬皆較高交易量者高，此結果與美股市場實證結果不一致。zh_TW
dc.description.abstract (摘要) This study investigates the investment performance of 19 technical indicators summarized by Chen and Zimmermann (2021) in the Taiwan stock market. These technical indicators comprise five volatility estimates, nine price momentum measures, four seasonality signals, and one volume-related attribute. The backtesting sample covers all ordinary stocks on the Taiwan Stock Exchange (TWSE) from 1981 until 2021. There are four main empirical findings: First, regarding volatility estimates, idiosyncratic volatility and the maximum daily return are positively related to the following month’s stock returns, which are at odds with the empirical findings in the US stock market. Second, inconsistent with the strong momentum effect in the US , the Taiwan stock market does not yield significant abnormal returns from momentum strategies. That said, over a longer time horizon, Taiwanese stocks experience significant return reversals that are consistent with the long-run reversal effect. Third, using the historical same-month returns as trading signals, Taiwanese stocks exhibit significant seasonality effects. Fourth, in contrast to the finding in the US market, price momentum is only profound among low turnover stocks while insignificant among high turnover stocks in Taiwan.en_US
dc.description.tableofcontents 第一章 緒論 4
第一節 研究動機 4
第二節 研究目的 7
第三節 研究架構 7
第二章 文獻回顧 8
第一節 波動度策略文獻探討 8
第二節 動能策略文獻探討 8
第三節 其他特徵文獻探討 11
第三章 研究資料與方法 12
第一節 資料介紹 12
第二節 研究方法 13
第三節 實證結果 21
第四章 結論與建議 33
第一節 研究結果與結論 33
第二節 未來可改善之建議 34
第五章 參考文獻 36		zh_TW
dc.format.extent 1382183 bytes-
dc.format.mimetype application/pdf-
dc.source.uri (資料來源) http://thesis.lib.nccu.edu.tw/record/#G0109351006en_US
dc.subject (關鍵詞) 技術指標zh_TW
dc.subject (關鍵詞) 動能策略zh_TW
dc.subject (關鍵詞) 季節性效應zh_TW
dc.subject (關鍵詞) Technical indicatoren_US
dc.subject (關鍵詞) Momentum strategyen_US
dc.subject (關鍵詞) Seasonality effecten_US
dc.title (題名) 以技術指標預測台股橫斷面期望報酬zh_TW
dc.title (題名) Cross-sectional return predictability of technical indicators in Taiwanen_US
dc.type (資料類型) thesisen_US
dc.relation.reference (參考文獻) 王永宏、趙學軍 (2001)。中國股市慣性策略和反轉策略的實證分析，證券市場導報，2001年6月號，28-33。
史永東、宋溪偉、谷佳音 (2016)。企業投資、股票收益期限結構和動量投資策略—基於中國股票市場的經驗證據，證券市場導報，2016年8月號，40-48。
洪茂蔚、林宜勉、劉志諒 (2007)，動能投資策略之獲利性與影響因素，中山管理評論，第15卷第3期，515-546。
胡銘顯、陳獻儀 (2012)，國際動能策略與景氣循環風險：由季節性型態觀察之，臺大管理論叢，第22卷第2期，277-308。
Ali, A., Hwang, L. S., & Trombley, M. A. (2003). Arbitrage risk and the book-to-market anomaly. Journal of Financial Economics, 69(2), 355-373.
Ang, A., Hodrick, R. J., Xing, Y., & Zhang, X. (2006). The cross‐section of volatility and expected returns. The Journal of Finance, 61(1), 259-299.
Bali, T. G., Cakici, N., & Whitelaw, R. F. (2011). Maxing out: Stocks as lotteries and the cross-section of expected returns. Journal of Financial Economics, 99(2), 427-446.
Bali, T. G., Engle, R. F., & Murray, S. (2016). Empirical asset pricing: The cross section of stock returns. John Wiley & Sons.
Barberis, N., Shleifer, A., & Vishny, R. (1998). A model of investor sentiment. Journal of Financial Economics, 49(3), 307-343.
Blitz, D., Huij, J., & Martens, M. (2011). Residual momentum. Journal of Empirical Finance, 18(3), 506-521.
Blitz, D., Hanauer, M. X., Vidojevic, M., & Van Vliet, P. (2018). Five concerns with the five-factor model. The Journal of Portfolio Management, 44(4), 71-78.
Chen, A. Y., & Zimmermann, T. (2021). Open source cross-sectional asset pricing. Critical Finance Review, Forthcoming.
Choi, S. M., & Kim, H. (2014). Momentum effect as part of a market equilibrium. Journal of Financial and Quantitative Analysis, 49(1), 107-130.
Choi, S. M., & Kim, H. (2014). Momentum effect as part of a market equilibrium. Journal of Financial and Quantitative Analysis, 49(1), 107-130..
Conrad, J., & Kaul, G. (1998). An anatomy of trading strategies. The Review of Financial Studies, 11(3), 489-519.
Daniel, K., Hirshleifer, D., & Subrahmanyam, A. (1998). Investor psychology and security market under‐and overreactions. The Journal of Finance, 53(6), 1839-1885.
De Bondt, W. F., & Thaler, R. (1985). Does the stock market overreact? The Journal of Finance, 40(3), 793-805.
Fama, E. F. (1970). Efficient capital markets: A review of theory and empirical work. The Journal of Finance, 25(2), 383-417.
Fama, E. F., & French, K. R. (1993). Common risk factors in the returns on stocks and bonds. Journal of Financial Economics, 33(1), 3-56.
George, T. J., & Hwang, C. Y. (2004). The 52‐week high and momentum investing. The Journal of Finance, 59(5), 2145-2176.
Griffin, J. M., Ji, X., & Martin, J. S. (2003). Momentum investing and business cycle risk: Evidence from pole to pole. The Journal of Finance, 58(6), 2515-2547.
Grinblatt, M., & Moskowitz, T. J. (1999). Do industries explain momentum?. The Journal of Finance, 54(4), 1249-1290.
Heston, S. L., & Sadka, R. (2008). Seasonality in the cross-section of stock returns. Journal of Financial Economics, 87(2), 418-445.
Jegadeesh, N. (1990). Evidence of predictable behavior of security returns. The Journal of Finance, 45(3), 881-898.
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.
Jegadeesh, N., & Titman, S. (2001). Profitability of momentum strategies: An evaluation of alternative explanations. The Journal of Finance, 56(2), 699-720.
Johnson, T. C. (2002). Rational momentum effects. The Journal of Finance, 57(2), 585-608.
Lee, C. M., & Swaminathan, B. (2000). Price momentum and trading volume. The Journal of Finance, 55(5), 2017-2069.
Levy, R. A. (1967). Relative strength as a criterion for investment selection. The Journal of Finance, 22(4), 595-610.
Murphy, J. J. (1999). Technical analysis of the financial markets: A comprehensive guide to trading methods and applications. Penguin.
Novy-Marx, R. (2012). Is momentum really momentum?, Journal of Financial Economics, 103(3), 429-453.		zh_TW
dc.identifier.doi (DOI) 10.6814/NCCU202201052en_US