動能策略意指買入過去表現較佳的股票而放空過去表現較差的股票。許多過去的學術文獻指出動能效果存在於不同的市場當中，包括已開發及新興市場。近期亦有探討國際動能策略的文獻，特別是以國家指數或是產業指數為標的所衍生之動能策略績效探討。本研究主要探討國際動能策略的獲利能力，並分析以國家觀點或產業觀點執行之動能策略之效果，比較孰強孰弱。 本研究主要探討兩部分，第一部分主要探討動能策略從國家以及產業角度執行之效果，為了減少研究上之偏誤，本研究使用了Datastream資料庫所涵蓋之15個產業以及相對應的12個國家，總共180個指數，樣本期間為1995年至2005年，進而以市值加權建構合成產業指數以及合成國家指數，再針對合成產業指數以及合成國家指數分別執行動能策略，以及比較其績效差異。實證結果顯示動能策略績效並未如過去文獻研究結果一般顯著，但產業動能策略表現優於國家動能策略。第二部分則是比較動能策略在新興市場以及已開發國家的績效。實證結果發現，不論是新興市場或已開發國家，動能策略的超額報酬均不顯著，但在持有期間較長的情況下，反向策略具有顯著獲利能力，這與過去文獻有相同的發現，且平均而言已開發國家的動能策略績效略優於新興市場。 The momentum strategies (or positive feedback trading) are the strategies that buy stocks which performed well in the past, and short stocks which performed poor in the past. Empirical results suggested that the profitability of momentum strategies did exist. There are many papers discussed the momentum effect in foreign markets or in Taiwan. Recently, there are also some papers discussed the momentum and contrarian effects in international stock markets, especially form country and industry angles. As a result, the purpose of this paper is to investigate whether momentum strategies can earn excess profits in international indices, from country and industry perspectives. This paper mainly investigates two parts. First, we compare momentum effects from the angle of country level and industry level, within a common data set. Second, we test whether there is a difference in momentum strategies’ performance between emerging and developed countries. The empirical results show that the profitability on momentum strategies within a common data set is not statistically significantly positive, which is inconsistent with the results of previous literatures. But the industry level momentum strategies always outperform the country level one, by 0.71 percent per month on average. As for the comparison between emerging markets and developed markets, the results show that profitability on momentum strategies in developed markets perform slightly better than emerging markets momentum strategies on average.
