台股報酬率不對稱均值反轉型態與反向投資之研究

Asymmetric Mean-Reversion of Stock Return and Contrarian Strategy in Taiwan

10.29698/FJMR.200505.0003

盧智強(Chin-Chiang Lu)；古永嘉(Yeong-Jia Goo)

市場過度反應 ； 一月效應 ； 二月效應 ； 不對稱非線性平滑轉換GARCH模型 ； stock market overreaction ； January effect ； February effect ； ANST-GARCH

輔仁管理評論

12卷2期（2005 / 05 / 01）

67 - 97

繁體中文

本研究目的是使用不對稱非線性的平滑轉換(ANST)GARCH(M)模型來驗證台灣上市及上櫃市場股價指數月超額報酬率的不對稱反轉型態與反向投資獲利性之關係 。結果發現自1971年01月至2002年12月台灣加權股價指數及1995年10月至2002年12月上櫃加權股價指數的月超額報酬率均具有不對稱的持續性現象，此現象即是負報酬相對於同大小之正報酬持續性存在的時間要短，隱含二超額報酬有可能存在不對稱的反轉現象；且發現反向投資策略的獲利性除來自市場過度反應外也與不對稱反轉現象有關。在考慮「波動性效果」時不對稱的反轉現象仍然顯著；另外，結果發現台灣加權股價指數月超額報率的不對稱反轉現象主要來自「一月效應」，而上櫃加權股價指數月超額報率的不對稱反轉現象在考慮「一月效應」時仍然顯著，同時一月份的不對稱反轉現象顯著異於其他月份；在考慮「二月效應」時的驗證結果，二指數月超額報酬率不對稱的反轉現象仍然顯著。

The study adopts asymmetric nonlinear smooth-transition(ANST) GARCH(M) models to evidence for monthly excess returns of TSE weighted stock price indexes over the period of 1971:01 -2002:12 and for monthly excess returns of OTC weighted stock price indexes over the period of 1995:10-2002:12. The findings include monthly excess stock returns display an asymmetric persistent pattern in which a negative return is relatively less persistent than is the positive return of the same size. It implies that monthly excess stock returns are likely to exhibit an asymmetric reverting pattern. The asymmetric reverting behavior of stock returns is undoubtedly exploitable using the contrarian portfolio strategy. Nonetheless, the results remain significant, even with a volatility effect allowed in return reversals. The asymmetric reverting behavior of TSE stock returns is unsignificant by January effect. The result of OTC stock returns remains significant by January effect, and the asymmetric reverting magnitude of January is greater than that of the others. Both TSE and OTC stock returns remain significant and unaffected by February effect.

1. Ahmet, B.,C. Nusret(1999).Do Mrkets Overreact? International Evidence.Journal of Banking and Finance,23,1121-1144.
2. Albert, R. L.,G. V. Henderson(1995).Firm Size, Overreaction, and Return Reversals.Quarterly Journal of Business and Economics,34,60-80.
3. Anderson, H.M.,K. Nam,F. Vahid,Phillip, R. (Ed.)(1999).Nonlinear Time Series Analysis of Economic and Financial Data.Boston:Kluwer Academic.
4. Contrarian Profits and the Overreaction Hypothesis: the Case of the Athens Stock Exchange
5. Ball, R.,S. P. Kothari,Jay Shanken(1995).Problems in Measuring Portfolio Performance: An Application to Contrarian Investment Strategies.Journal of Financial Economics,38,79-107.
6. Ball, R.,S.P. Kothari(1989).Nonstationary Expected Returns: Implications for Tests of Market Efficiency and Serial Correlation in Returns.Journal of Financial Economics,25,51-74.
7. Banz, R.W.(1981).The Relationship between Return and Market Value of Common Stocks.Journal of Financial Economics,9,3-18.
8. Bollerslev, T.,J.M. Wooldridge(1992).Quasi-maximum Likelihood Estimation and Inference in Dynamic Models with Time-varying Covariances.Econometric Reviews,11,143-172.
9. Braun, P.A.,D.B. Nelson,A.M. Sunier(1995).Good News, Bad News, Volatility, and Betas.Journal of Financ,50,1575-1603.
10. Brown, K.C.,W.V. Harlow(1988).Market Overreaction: Magnitude and Intensity- Surprising Asymmetries Exist in Both Direction and Time.The Journal of Portfolio Management,winter,6-13.
11. Campbell, J.Y.,S.J. Grossman,J. Wang(1993).Trading Volume and Serial Correlation in Stock Returns.Quarterly Journal of Economics,108,905-939.
12. Chan, K.C.(1988).On the Contrarian Investment Strategy.Journal of Business,61,147-163.
13. Cho, Y.H.,R.F. Engle(1999).Time-varying Betas and Asymmetric Effects of News: Empirical Analysis of Blue Chip Stocks.NBER working paper.
14. Chopra, N.,J. Lakonishok,J.R. Ritter(1992).Measuring Abnormal Performance: Do Stocks Overreact?.Journal Financial Economics,31,235-268.
15. Tokyo Stock Exchange working paper
16. Conrad, Jennifer,Gautam Kaul(1988).Time-Variation in Expected Returns.Journal of Business,61(4)
17. Davidson, Wallace N.,Dutia(1989).A Note on the Behavior of Security Returns: A Test of Stock Market Overreaction and Efficiency III.The Journal of Financial Research,12(3),245-252.
18. DeBondt, W.F.M.,R.H. Thaler(1989).A Mean-reverting Walk Down Wall Street.Journal of Economic Perspectives,3,189-202.
19. DeBondt, W.F.M.,R.H. Thaler(1987).Further Evidence on Investor Overreaction and Stock Market Seasonality.Journal of Finance,42,557-581.
20. DeBondt, W.F.M.,R.H. Thaler(1985).Does the Stock Market Overreact?.Journal of Finance,40,793-805.
21. Fama, E.F.(1991).Efficient Capital Markets: II.Journal of Finance,46,1575-1617.
22. Fama, E.F.,K.R. French(1988).Permanent and Temporary Components of Stock Prices.Journal of Political Economy,96,246-273.
23. Fama, E.F.,K.R. French(1993).Common Risk Factors in the Returns on Stock and Bonds.Journal of Financial Economics,33,3-56.
24. Hameed, A.,S. Ting(2000).Trading Volume and Short-horizon Contrarian Profits: Evidence from Malaysian Stock Market.Pacific-Basin Finance Journal,8,67-84.
25. Howe, J.(1986).Evidence on Stock Market Overreaction.Financial Analyst Journal,42(July/Augst),74-77.
26. Hung, Juann H.(1997).The Exchange Rate`s Impact on Overseas Profits of U.S. Multinationals.Journal of Economics and Business,49,439-458.
27. Jegadeesh, N.(1990).Evidence of Predictable Behavior of Security Returns.Journal of Finance,45,881-898.
28. Jegadeesh, N.,T. Sheridan(1995).Overreaction, Delayed Reaction and Contrarian Profits.Review of Financial Studies,8,973-993.
29. Jones, Steven L.(1993).Another Look at Time-Varying Risk and Return in a Long-Horizon Contrarian Strategy.Journal of Financial Economics,33,119-144.
30. Keim, D.B.(1983).Size-related Anomalies and Stock Return Seasonality: Further Empirical Evidence.Journal of Financial Economics,12,13-32.
31. Kryzanowski, L.,H. Zhang(1992).The Contrarian Investment Strategy Does Not Work in Canadian Markets.Journal of Financial & Quantitative Analysis,27(3),383-395.
32. LeBaron, B(1992).Some Relations between Volatility and Serial Correlations in Stock Market Returns.Journal of Business,65,199-219.
33. Lee, D.D.,H. Chan,R.W. Faff,P.S. Kalev(2003).Short-term Contrarian Investing/is It Profitable? ...Yes and No..Journal of Multinational Financial Management,13,385-404.
34. Lehmann, B.N.(1990).Fads, Martingales, and Market Efficiency.Quarterly Journal of Economics,105,1-28.
35. Lo, A.W.,MacKinlay, A.C.(1990).When Are Contrarian Profits Due to Stock Market Overreaction?.Review of Financial Studies,3,175-205.
36. Loughran, Tim,Jay R. Ritter(1996).Long-term Market Overreaction: The Effect of Low-priced Stocks.Journal of Finance,51(5),1959-1970.
37. Mun, J.C.,G.M. Vasconcellos,R. Kish(2000).The Contrarian/Overreaction Hypothesis: An Analysis of the US and Canadian Stock Markets.Global Finance Journal,11,53-72.
38. Nam, K.(1998).Unpublished PhD dissertation, Texas A&M University.
39. Nam, K.,C.S. Pyun,A.C. Arize(2001).Asymmetric Reverting Behavior of Short-horizon Stock Returns: An evidence of stock market overreaction.Journal of Banking & Finance,25,807-824.
40. Nam, K.,C.S. Pyun,A.C. Arize(2002).Asymmetric Mean-reversion and Contrarian Profits: ANST-GARCH Approach.Journal of Empirical Finance,9,563-588.
41. Ni, X.,M.-H. Lui,J. Kang(2002).Contrarian and Momentum Strategies in the China Stock Markets: 1993_/2001.Pacific-Basin Finance Journal,10,243-265.
42. Pettengill, Glenn N.(1990).The Overreaction Hypothesis, Firm Size, and Stock Market Seasonality.Journal of Portfolio Management,16(3),60-64.
43. Pettengill, Glenn N.,Bradford D. Jordan(1988).A Comprehensive Examination of Volume Effects and Seasonality in Daily Security Returns.Journal of Financial Research,11(1),57-70.
44. Ramsey, J.B.(1969).Tests of Specification Errors in Classical Linear Least Squares Regression Analysis.Journal of the Royal Statistical Society,31,350-371.
45. Sentana, E.,Wadhwani, S.(1992).Feedback Traders and Stock Return Autocorrelations: Evidence from a Century of Daily Data.Economic Journal,102,415-425.
46. Zarowin, P.(1990).Size, Seasonality and Stock Market Overreaction.Journal of Financial and Quantitative Analysis,25,113-125.
47. Zarowin, P.(1989).Does the Stock Market Overreact to Corporate Earnings Information?.Journal of Finance,44,1385-1399.
48. 李存修、林欽龍(1993)。台灣股市長短期過度反應之存在性與季節性。社會科學論叢，41，139-159。
49. 周建忠(2000)。國立中央大學財務管理研究所未公開發表之碩士論文。
50. 周賓凰(2002)。行政院國家科學委員會科學研究報告行政院國家科學委員會科學研究報告,未出版
51. 林美珍(1992)。國立台灣大學財務金融研究所未出版碩士論文。
52. 徐曉芬(1994)。淡江大學金融研究所。
53. 絲文銘(1994)。國立台灣大學財務金融研究所未出版碩士論文。
54. 詹家昌(1991)。私立東海大學企業管理研究所未出版碩士論文。
55. 劉玉珍、劉維琪、謝政能(1993)。台灣股票過度反應之實證研究。臺大管理論叢，105-146。

1. 曾銘宗、古永嘉(2013)。期貨交易稅調整對指數期貨及選擇權間價差行為之研究。企業管理學報，98，1-24。
2. 游忠儒、古永嘉(2013)。臺灣股票指數現貨、期貨、選擇權三市場的基差及價差變動行為探討─應用ANST-GARCH。輔仁管理評論，20(2)，1-26。