不同市場狀態與市場波動度下的動能研究

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賴穎頡(Ying-Jie Lai) 查詢紙本館藏

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財務金融學系

論文名稱

不同市場狀態與市場波動度下的動能研究
(Momentum performance under different market state and market volatility.)

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摘要(中)

本文探討不同市場狀態與市場波動度下的動能表現。資料為美國NYSE、Nasdaq 與
AMEX 三大交易所資料、期間為1960 年到2017 年的月資料。以Jagadeesh and
Titman(1993)為基礎建立動能，並用市場報酬來建立市場狀態與市場波動度。以兩階段
分類的方式去劃分動能於不同市場狀態與市場波動度下的表現，發現:動能表現好壞主
要受市場狀態的影響、市場波動度則對動能有近一步的促進效果。並發現動能於市場向
上且低波動度時較不易發生反轉現象。此外，市場狀態與市場波動度對美國經濟衰退彼
此間具預測能力。市場狀態愈向上且波動度愈低，則經濟衰退發生的可能性愈低。最後，
經濟衰退的發生會造成動能表現較平日減少1.5%的報酬。

摘要(英)

The purpose of this thesis is to find momentum react to different market state and market
volatility. Data are from American three major stock exchange NYSE, Nasdaq and AMEX.
Monthly data are from 1960 to 2017. Momentum construction is based on method described onJagadeesh and Titman(1993) with market return used as the measure of market state and market
volatility. Independently two way sorting is used to inspect the performance of momentum
under different market state and market volatility. My finding is that momentum performance
mainly depends on market state and is enhanced by market volatility. Momentum reversal
seldom happens on positive market state and low volatility. Market state and market volatility
can also be used to predict the possibility of American recession. If the month is categorized as
positive market state and low volatility by this paper method, it may has lesser possibility to be
recession. Finally, Recession makes momentum perform worse than normal period by 1.5 percent.

關鍵字(中)

★ 動能
★ 市場狀態
★ 市場波動度

關鍵字(英)

★ Momentum
★ Market State
★ Market Volatility

論文目次

中文摘要 i
Abstract ii
第一章緒論 1
第二章文獻回顧 3
第三章研究設計與方法 5
3-1 資料來源及研究期間 5
3-2 研究方法 6
第四章實證結果 9
4-1 動能投資策略 9
4-2 動能策略報酬影響因素 9
4-3 不同市場狀態、市場波動度下的動能績效差異 16
第五章結論 19

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指導教授

周賓凰(Pin-Huang Chou)

審核日期

2019-11-27

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