動量報酬、波動度與總體經濟變數關係之實證研究; Momentum Strategies, Volatility and the Macroeconomic Variables

NCUIR > School of Management at National Central University > Graduate Institute of Business Administration > Electronic Thesis & Dissertation > Item 987654321/12145

Please use this identifier to cite or link to this item: http://ir.lib.ncu.edu.tw/handle/987654321/12145

Title:	動量報酬、波動度與總體經濟變數關係之實證研究;Momentum Strategies, Volatility and the Macroeconomic Variables
Authors:	涂嵂婷;Lu-ting Tu
Contributors:	企業管理研究所
Keywords:	波動度;動量策略;總體經濟;volatility;momentum strategies;macroeconomic variables
Date:	2009-07-01
Issue Date:	2009-09-22 14:40:34 (UTC+8)
Publisher:	國立中央大學圖書館
Abstract:	本研究參考Jegadeesh and Titman(1993)所提之價格動量策略以及Chan, Jegadeesh and Lakonshok(1996)所提之盈餘動量策略，檢視台灣市場之動量現象，並探討動量策略報酬與波動度以及總體經濟變數之關係。實證結果發現，台灣市場存在盈餘動量現象，且以持有期間為三個月之效果最好；波動度對盈餘動量策略報酬之影響並不明顯；而盈餘動量報酬與工業生產指數、電力總用電量、實質製造業銷售值、批發零售及餐飲業營業額指數、實質機械及電機設備進口值以及外銷訂單指數等變數呈現負向關係，與實質貨幣總計數M1B、股價指數、製造業存貨指數、非農業部門就業人數、期間價差與無風險利率等變數呈現正向關係。 This paper first examines the profitability of price momentum and earnings momentum strategies in Taiwan’s equity market. Second, we include volatility variable to see if volatility would affect the momentum profits. Third, we examine if the returns are related to the macroeconomic variables. We find that earnings momentum exists in Taiwan, and the volatility variable shows the limited power in affecting the momentum profits. Further, we find that the returns are related to the macroeconomy.
Appears in Collections:	[Graduate Institute of Business Administration] Electronic Thesis & Dissertation

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