動能投資策略於台灣股票市場之應用—－含金融海嘯之影響

The Application of Momentum Investment Strategy on Taiwan Stock Market

傳統的效率市場假說一直遭受行為財務學者的質疑，行為財務理論的支持者認為投資者可以透過一定的操作策略，在證券市場中獲取比充分分散投資組合更高的投資報酬率。動能投資策略是行為財務學者常採用之一種策略，本文探討動能投資策略於台灣股票市場之適用性。使用在台灣證券交易所上市之所有非金融類股之公司為研究對象，選取1999 年1 月至2004 年6 月間之日交易資料為樣本，利用個股、產業別，及52 週高價等三種不同的動能投資策略，建構最適投資組合並進行動能投資操作。探討不同的動能投資策略之間，其投資績效是否會有統計上地顯著差異。研究結果發現，利用三種策略下所建構之投資組合持有6 個月後，於台灣股票市場之投資平均報酬率皆為正值。當進行三種策略之比較時，52 週高價策略之投資績效顯著優於另兩種策略。但是，在考量交易成本後，其統計結果都不顯著，表示台灣的股票市場具有某種的效率性，投資者並無法利用一個固定交易投資策略去賺取超額利潤。若將研究時間延長至考慮2008 年金融海嘯的衝擊後，各種動能投資策略的投資報酬差異並不顯著，沒有辦法支持動能投資策略優於傳統的分散投資策略。

Behavior economists suggest that the momentum investment strategies arebetter than the traditionally well-diversified portfolio strategy. Io order to testify thisargument, this paper uses three kinds of momentum investment strategies,individual stock momentum strategy, industrial momentum strategy, and 52-weekhigh price momentum strategy to establish investment portfolios on Taiwan stockmarket.The result of this study is as follows: if we buy and hold portfolios accordingto the three kinds of investment strategies for six-month, the average returns of allthe three momentum investment strategies are all positive. In addition, the averagereturn of the 52-week high price investment strategy is significantly higher thanzero. This result implies that the 52-week high price momentum strategy is a bettermomentum investment strategy that Taiwan stock investors should adopt. In orderto consider the impact of Leman Brothers’ shock, this study extends research datafrom 1998 to 2009. Then, we find that the momentum investment strategies are notsignificantly better than traditionally well-diversified portfolio strategy.