台灣股市不存在中期動能效應？

Do Middle-Term Price Momentum not Exist in Taiwanese Stock Market?

10.29735/SJEB.201003.0004

王明昌(Ming-Chang Wang)；朱榕屏(Long-Ping Zu)；王弘志(Hung-Chih Wang)

動能效應 ； 反向策略 ； 零投資動能投資組合 ； 形成期 ； 持有期 ； Momentum Strategies ； Contrarian Strategies ； Zero-Investment Momentum Portfolio ； Formatting Period ； Holding Period

東吳經濟商學學報

68期（2010 / 03 / 01）

91 - 120

繁體中文

本文旨在檢驗“台灣股市不存在中期動能效應”相關文獻研究正確性？以長期資料探討中期動能效應及為成因釋義。參照Jegadeesh及Titman(1993)，建立買贏家及賣輸家的零投資動能投資組合，以買進持有方法計算報酬，發現動能投資組合可獲正顯著利潤。另在形成期結束和建立動能投資組合間，分別插入1或2個月延遲，則持有動能投資組合正報酬更高。除證實台股確存在中期動能外，發現在中期動能結束後12個月股價開始顯著反向。顯示投資人可用中期動能亦可選中期反向策略操作獲利，且中期反向報酬較中期動能高。再對動能釋義，Fama及French(1993)三因子模型無法通過測試據以成為分析台股風險模型；行為財務理論Daniel、Hirsheifer及Subrahmanyam(1998)模式較Barberis、Shleifer及Vishny(1998)與Hong及Stein(1999)模型對台股中期動能效應更具合理解釋。

The purpose of this study analyze whether the middle-term price momentum strategy will generate abnormal rate of return in Taiwanese stock market, as proposed by most of current literatures regarding the European and U.S. stock markets, nevertheless, the Asian (included Taiwanese) stock markets have not found. Following Jegadeesh and Titman (1993), we sort the whole stocks in Taiwan Stock Exchange (TSE), create the zero-investment momentum portfolio, and count their the buy-and-holds' returns. The portfolio can be proved positive average profits, significantly. The abnormal positive average return will be increased, marvelously, if their delay one- or two-months to form the momentum portfolio. We also find the other middle-term price reversed pattern within the twelve months just after the price momentum period. According to the above results, the investors can generate abnormal return using the middle-term price momentum strategies and the other using the middle-term contrarian strategies in Taiwanese stock market. To interpret these anomalies, this study demonstrates model of the Fama and French (1993) three factors model, could not be an adequate one in describing price behaviors of Taiwanese stock market. We also explain that the Behavioral Finance model of Daniel, et al. (1998) is more successful than the Barberis, et al. (1998) and the Hong and Stein (1999) models for decrypting the middle-term momentum and contrarian strategies in Taiwanese stock market.

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