技術分析對台灣波動度及規模效果之影響

The Impact of Technical Analysis on Volatility and Size Effects in Taiwan Stock Market

本文探討在台灣股票市場以波動度及公司規模形成投資策略時，投資者是否可以透過技術分析中的移動平均指標，來獲取較高的異常報酬。實證結果發現，在波動度或公司規模投資組合中，使用移動平均策略之投資績效皆優於買入持有策略。此外，為了充分掌握波動度效果及公司規模效果的異常報酬，本文根據移動平均指標所發出的交易訊號，除了買入最高波動度（公司規模最小）的投資組合之外，並同時放空最低波動度（公司規模最大）的投資組合，形成一零成本的投資組合。結果不管是依波動度或公司規模所形成的投資組合，此一策略皆可獲取顯著為正的投資績效。即便在扣除交易成本後，其優越的績效表現依舊存在。透過穩健性檢定，發現不論是動能效果、總體經濟指標、市場狀態及市場擇時能力，皆無法完全解釋本研究依據移動平均指標建構交易策略所可獲取的超額報酬。

In this study, we examine whether asset pricing anomalies caused by the volatility effect and the size effect exist in Taiwan’s stock market, and investigate whether investors can exploit abnormal returns therein by applying the popular moving-average technical trading rule. We construct investment portfolios based on firms’ return volatility or market capitalization, and apply the moving-average rule to determine the timing for buying these portfolios. Our empirical results demonstrate that, a combination of the moving-average buying indicator and the volatility (or size) effect do generate higher returns than the traditional buy-and-hold strategy, and the size of such abnormal return typically decreases with the length of the moving average rule employed. Furthermore, we propose a zero-cost investment strategy by buying the highest volatility (or smallest size) portfolio, and short-selling the lowest volatility (or largest size) portfolio based on the moving-average signals. The overall evidence suggests that such a zero-cost investment strategy generates significantly positive returns, and the results are not affected by the consideration of transaction costs. With robustness checks, we also show that such abnormal returns cannot be fully explained by the momentum effect, macroeconomic conditions, market states, or the market timing ability.