Pacific-Basin Finance Journal·Volume 38,June 2016, Pages 59–75

台灣股市的市場動态和動量

作者：Chaonan Lina,Kuan-Cheng Kob,Zhi-Xiang Fengb,Nien-Tzu Yang

摘要：大量的已有文獻說明台灣股市沒有顯示出動量溢價。我們将這種現象歸因于市場的頻繁轉換，并假設當考慮市場動态影響時，動量策略是可以盈利的。為了證實這個觀點，我們證明了當市場持續處于相同狀态時是可以獲得顯著的動量利潤的。然而，在市場轉換時期的動量策略表現出顯著的逆轉結果。我們提供了支持投資者過度自信假設的依據，該假設能解釋我們的發現，這個依據就是顯著為正的動量利潤集中在吸引更多投資者注意的股票中。進一步的調查顯示，在加入數個控制變量後，我們的結果是穩健的，暗示了在台灣進行動量投資時，市場動态的獨特性和重要性。

關鍵詞：市場動态，動量利潤，投資者過度自信，台灣股市

Market dynamics and momentum in the Taiwan stock market

Chaonan Lina,Kuan-Cheng Kob,Zhi-Xiang Fengb,Nien-Tzu Yang

Abstract

Prior literature widely documents that the Taiwan stock market exhibits no momentum premium. We attribute this phenomenon to the frequent transitions of the market and hypothesize that the momentum strategy can be profitable when the effect of market dynamics is taken into consideration. Confirming this notion, we document significantly positive momentum profits in Taiwan when the market continues in the same state. The momentum strategy during periods of market transitions, however, exhibits significant reversals. We provide evidence in support of the overconfidence hypothesis in explaining our findings by showing that the significantly positive momentum profit is concentrated in stocks that attract more investor attention. Further investigations show that our results are robust to the inclusion of several conditioning variables, suggesting the uniqueness and importance of market dynamics in momentum investing in Taiwan.

Keywords: Market dynamics, Momentum profits, Investor overconfidence, Taiwan stock market

原文鍊接：

http://www.sciencedirect.com/science/article/pii/S0927538X16300397

翻譯：何杉