低波動度異常現象(Low Volatility Anomaly)是違反傳統財務理論高風險高報酬的現象，低風險資產卻有高報酬。本文除了驗證台灣股票市場具低波動度異常現象之外，試圖加入市場風險因素，解釋造成低波動異常現象的可能原因，並探討低波動度投資組合是否能夠預測市場風險，最後以持有期間的不同做低波動度交易策略分析。透過三種風險分類和不同估計期間，找出最適的分類方式是估計期為一個月的獨特風險，進而從研究結果證實台灣市場確實具低波動度異常現象，並發現在市場風險高時，能擴大低波動度投資組合的報酬，且前一期的低波動度投資組合能夠預測市場風險，而低波動度交易策略是屬於短期投資策略。;The low risk asset will earn high return, which is contrary to the traditional financial theory, and this phenomenon is called low volatility anomaly. This paper is about the relationship between low volatility portfolio return and market risk. First, verifying whether Taiwan stock market has low volatility anomaly phenomenon and whether market risk can explain low volatility portfolio return. Then, testing whether low volatility portfolio can predict market risk. Finally, analyzing low volatility trading strategy. The results show that the Taiwan stock market indeed has low volatility anomaly phenomenon and market risk will influence low volatility portfolio return, so low volatility portfolio return can be an indicator to predict market risk. In addition, low volatility trading strategy belong to short-term strategy.
