市場日內動能: 以台指期為例

Abstract

本研究以2001年至2018年台灣加權股價指數期貨(台指期)的三十分鐘交易價格為樣本，發現了台指期具有日內動能的現象，即以前一日收盤價至當日開盤後半小時成交價之報酬與收盤前半小時的報酬有顯著的正相關性。除此之外，在金融海嘯期間、高首半小時交易量期間、景氣衰退期間或是前一日收盤後到當日開盤前金融市場有好消息的日子，台指期會有更強的日內動能現象。 基於日內動能的交易策略回測結果顯示漲勢的日內動能較跌勢的日內動能強，即順勢做多會比順勢做空績效較好，在總報酬率、投資效率和勝率皆有較佳的表現；此外，以首半小時報酬作為進場做多的指標時，該策略之總報酬率和投資效率皆優於大盤。

Based on the 30-minute trading price of the Taiwan Stock Exchange Capitalization Weighted Stock Index Futures(TAIEX Futures) from 2001 to 2018, this study found that the TAIEX Futures have intraday momentum. In other words, there is a significant positive correlation between the first-half hour return and the last-half hour return. In addition, during the financial crisis, during high first-half hour volume days, during recession periods or during days with good news before the open of market, the TAIEX Futures would show stronger intraday momentum. The backtesting results of the trading strategies based on intraday momentum show that going long is more profitable than short selling, and has better performance on total return, investment efficiency and winning rate. Besides, when the first-half hour return is used as an indicator of entering the market, the total return and the investment efficiency of the strategy are better than the market.