動能投資策略在台灣股票市場之應用;Application of Momentum Investment Strategy in Taiwan Stock Market

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题名:	動能投資策略在台灣股票市場之應用;Application of Momentum Investment Strategy in Taiwan Stock Market
作者:	高碩廷;Kao, Shuo-Ting
贡献者:	財務金融學系
关键词:	市況率網;動能;投資策略;Market Filter;Momentum;Investment strategy
日期:	2019-07-30
上传时间:	2019-09-03 15:08:32 (UTC+8)
出版者:	國立中央大學
摘要:	本研究旨在建立一套適用於台灣股票市場的動能投資策略，採用台灣所有上市上櫃公司，樣本期間為西元1997年1月1日至西元2018年12月31日。以歷史價格找尋具有動能的股票，並以均線市況濾網與斜率市況濾網找出合適的市場行情進入股票市場，再以ATR權重與 σ 權重，買進過去的贏家採取買入與持有投資策略，計算出本研究動能投資策略的績效。結果顯示，本研究的動能投資策略是適用於台灣股票市場的，不論以台灣所有上市上櫃公司、台灣市值前150大公司、台灣市值前50大公司何種標的，皆有打敗台灣加權指數買入與持有投資策略的績效，但是持有期間為年的動能投資策略表現效果不佳，而大部分的動能投資策略以斜率市況濾網優於均線市況濾網，又以 σ 權重優於ATR權重。而在穩健性分析中，結果指出市況濾網在動能投資策略確實扮演著重要的角色。;In this study, we establish an application of momentum investment strategy in Taiwan stock market. We collected all the listed companies from January 1997 to December 2018 in Taiwan. First, find the momentum of stocks by historical prices. Second, finding the good time to enter the stock market with the average market condition filter and the slope market condition filter. Third, use the ATR weight and σ weight to buy the past winners and take the buy and hold investment. Lastly, we can get the performance of momentum investment strategies. The results show that the momentum investment strategy of this study is applicable to the Taiwan stock market. Regardless of any subject, they all beat the Taiwan Weighted Index. But the momentum investment strategy with a holding period of the year is not effective. Most of the momentum investment strategies are better using the slope market filter than using the moving average filter, and the σ weight is better than the ATR weight. In the robustness analysis, the results indicate that the market filter does play an important role in the momentum investment strategy.
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