通貨膨脹與台灣不動產相關類股動能現象之探討

Inflation and the Industry Momentum Effect of the Real Estate Related Stocks

隨著高物價時代的來臨，不動產所具有的抗通膨特性再度成為重要的議題。然而不動產的投資有總金額高、風險大與流動性低的限制。因此本文利用不動產相關類股與電子類股，兩者的股價報酬明顯受通貨膨脹影響且影響方向不同的特性，研究兩者間是否存在有產業動能現象。研究結果發現即使台灣股市所有產業類股的動能現象並不明顯，然而隨著通膨的消長，在資金的輪動下，上述兩類股間出現了很普遍且顯著的動能現象。本文進一步依此現象來發展通膨相關類股動能投資策略，作為一種既能抗通膨又能抵禦通貨緊縮的投資選擇。結果發現在多組交易策略上，都能獲得年報酬率20%以上的績效，而且由於此種策略同時握有多空部位，因此也大幅降低了投資組合的系統風險。

This study investigates the industry momentum effect of inflation-related stocks in Taiwan. We find that the significant influence of inflation on stocks differs between real estate related stocks (building materials & construction, steel & iron, and cement) and electronics stocks. During stable inflation or deflation periods, electronics stocks attract more flows and perform better than other industry stocks, while during the high inflation periods, the real estate-related stocks attract more flows and perform better. Although there is evidence of an insignificant industry momentum effect when employing all the industries in Taiwan, we find a significant industry momentum effect when employing only the real estate-related stocks and electronics stocks. Because the fund rotates between these two industry stocks with the fluctuations in the price index, there appears to be a significant industry momentum effect between these two kinds of industry stocks. This study, in accordance with the significant industry momentum effect between these two stocks, further develops the inflation-related industry momentum strategy which can be an investment choice when investors want to hedge their positions not only during the high inflation periods but also during the deflation periods. The results show that such a strategy performs well with an annual return of above 20%. Moreover, the systematic risk of the zero-cost portfolio decreases due to the holding of long and short positions simultaneously when adopting the momentum strategy.