成長型交易策略之研究──以中國A股為例

A Study on the Growing Trading Strategies-Focus on China A Shares

選取2005年4月至2020年2月的中國A股作為樣本，建構了3個成長型組合，探討成長型交易策略在中國A股市場的有效性。實證結果發現，在三因子模型下，組合的績效表現均優於對比指標，說明當下中國A股市場的投資風格比較偏向於成長股，也就是相較於價值型股票，投資成長股的報酬率會更高。在全部樣本期間，總市值成長組合表現最為優異，不過，以上漲區間、下跌區間以及震盪區間來看，總市值成長組合與稅後淨利成長組合不分伯仲，而排序在後的為初始成長組合。綜上所述，本文建議投資者進入中國股市時，應以成長型交易策略為主，會較符合當前中國A股市場的投資風格，而有較大的概率獲得超額報酬。

"Selecting Chinese A shares ranging from April 2005 to February 2020 as samples, we constitute three growth portfolios, investigating the validity of growth trading strategy on Chinese A shares. The empirical result finds that, under three-factor model, the portfolio outperforms the corresponding index, a result illustrating that the investment style is inclined to growth stock at the time being, which is to say that, compared to value stock, it would have higher return rate when investing growth stock. During all sample period, the total market value growth portfolio outperforms the others, but, in terms of growth interval, decline interval and shock interval, this portfolio and the net income growth portfolio perform about the same, whereas the initial growth portfolio performs the worst. In sum, we suggest that, when entering Chinese stock market, investors should mainly adhere to growth trading strategy, which more corresponds to the investing style of Chinese A shares market nowadays, therefore providing a greater chance for the investors to obtain excess return."