價格動能策略-以台灣市值前100大公司為例;Price Momentum Strategy: Evidence from Top 100 Enterprises of Taiwan

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题名:	價格動能策略-以台灣市值前100大公司為例;Price Momentum Strategy: Evidence from Top 100 Enterprises of Taiwan
作者:	林本耀;Lin, Ben-Yao
贡献者:	財務金融學系
关键词:	動能策略;資金使用效率;Momentum strategy;Capital using efficiency
日期:	2021-08-16
上传时间:	2021-12-07 15:06:53 (UTC+8)
出版者:	國立中央大學
摘要:	股票一直以來都是台灣十分熱門的投資方式，一次的獲利也許就可以讓我們的退休生活提早到來，從個體經濟的角度而言，不論是基本面還是技術面，投資的方式千百種，彼此間也可能存在相互矛盾的情況，而就總體的角度而言，當市場大好時，少年股神們層出不窮，一旦出現金融危機、新冠肺炎等重大衝擊時，血本無歸的情況也時有耳聞，因此如何創造一個適合多數投資人可以適時停利停損的策略具有其必要。本研究分為兩個部分，首先，以價格動能為基礎，分別透過固定百分比以及ATR的方式，從策略的本質，一步步篩選出合適的策略組合，再進一步找尋策略的參數，發現透過主動選股的方式確實可以獲得比大盤更佳的報酬，也證實了技術分析在台灣市場具有效果，再者，透過研究資金的使用方式，增加資金的使用效率，使獲利進一步提升，研究結果表示，透過此策略的報酬優於買進持有大盤。 ;Stocks have always been a very popular investment method in Taiwan. A single profit may make our retirement life come early. From the perspective of microeconomics, there are thousands of investment methods, whether it is fundamental or technical. There may also be conflicts between each other, and from the perspective of macroeconomics, when the market is good, young stock gods emerge in endlessly. Once there is a major impact such as the financial crisis or like covid-19, the situation of losing money is also heard from time to time. Therefore, it is necessary to create a strategy suitable for most investors to earn profits and stop losses in a timely manner. This study is divided into two parts. Firstly, based on price momentum, through fixed percentage and ATR respectively. From the essence of the strategy, a suitable strategy combination is selected step by step, and then the parameters of the strategy are further searched for. It is found that through active selection The way of stocks can indeed get better rewards than the broader market. It also proves that technical analysis is effective in the Taiwan market. Furthermore, by studying the use of funds, the efficiency of the use of funds is increased, and profits are further improved. The research results indicate that, through this strategy the reward is better than buying and holding the market.
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