價格動能與Omega二階段排序交易策略：以台灣股票市場為例

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题名:	價格動能與Omega二階段排序交易策略：以台灣股票市場為例
作者:	高嘉佑;Gao, Jia-You
贡献者:	財務金融學系
关键词:	動能策略;Omega指標;二階段排序;momentum strategy;Omega index;double-sorting
日期:	2023-06-27
上传时间:	2023-10-04 15:19:29 (UTC+8)
出版者:	國立中央大學
摘要:	本研究藉由Jegadeesh and Titman (1993)之傳統價格動能策略與Keating and Shadwick (2002)所建構之Omega指標形成一階段排序(single sorting)以及二階段排序(double sorting)投資策略，並且探討其買入贏家與賣出輸家形成之套利投資組合是否能夠比傳統價格動能策略有更高的平均報酬。Omega指標具有計算簡易、更為泛用且有理論支持等優點，另外Omega指標具備與一階隨機優越(first-order stochastic dominance)呈一致性(consistency)的優良性質，可作為投資人進行股票篩選的一項有力工具。　　實證結果發現，以2017年1月至2022年8月台灣經濟新報(TEJ)之上市普通股股票為樣本，定義過去6個月為形成期，二階段排序的策略的確能夠使投資人取得相較傳統動能策略更高額的平均報酬，且透過Carhart四因子迴歸模型亦發現這些策略擁有更高額之異常報酬。該結果在台灣疫情前後之期間也仍具備相當的穩健性。 ;In this paper, we refer to the traditional price momentum strategy of Jegadeesh and Titman (1993) and the Omega constructed by Keating and Shadwick (2002) to form single-sorting and double-sorting investment strategies, and examine whether the arbitrage portfolio of buying winners and selling losers can generate higher average returns than traditional price momentum strategies. Omega have the advantages such like simple calculation, more general use and theoretical basis. In addition, the Omega has the excellent property of being consistent with the first-order stochastic dominance. It can be a powerful tool for stock selection to investor. 　　The empirical results show that, taking the listed common stocks of Taiwan Economic Journal (TEJ) from January 2017 to August 2022 as data, defining the past 6 months as the ranking period, the double sorting strategy can indeed enable investors to obtain higher average returns than traditional momentum strategies, and through the Carhart four-factor regression model, it is also found that these strategies have higher abnormal returns. These results are also quite robust in the period before and after the COVID-19 epidemic in Taiwan.
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