台灣外匯市場是否存在動量效果?

Abstract

本論文探討外匯市場應用動量交易策略的績效，這些策略已被廣泛地運用在權益市場中。Serban（2010）的研究指出，在權益市場中存在的均數復歸（mean reversion）與動量（momentum）現象皆可在外匯市場中發現，本文在此研究基礎上，依Okunev and White（2003）及Jegadeesh and Titman（1993）的研究方法，以過去形成期的平均報酬率高低作為篩選依據，並將形成期與持有期擴展到1、4、13、26及52週的不同時間組合，研究佔台灣貿易往來比重最高的台幣、美元、日圓及歐元的動量現象。實證結果發現美元、日圓及歐元都有明顯的動量現象產生，並可採用動兩交易策略獲得顯著報酬，且採用同時買進贏家並賣出輸家的結合動量策略，平均報酬率表現皆比單純買進贏家的報酬為佳；而以台幣為基礎貨幣時，雖沒有動量現象產生，但均數復歸現象相當明顯。由於交易策略的可行性，可以推論台灣外匯市場是不具弱式效率性。

This thesis discusses the performance of momentum strategies in the foreign exchange market, the strategies have been wildly used in equity market. Serban（2010）points out that foreign exchange rates also exhibit behaviors akin to momentum and mean reversion. Based on Okunev and White（2003）, this thesis implements the trading strategies which buy currencies that have performed best in the past 1, 4, 13, 26, and 52 weeks. The currencies observed are: NTD, USD, JPY, and EURO that play important roles in Taiwan foreign exchange markets. According to Jegadeesh and Titman（1993）, the currency that performed well in the past defined as WINNER, and the opposite defined as LOSER. The results show that most of the currencies display the momentum phenomena except NTD, which shows the Mean Reversion trading strategies are more useful. Moreover, the strategies which buy WINNER and sell LOSER at the same time generate more significant positive returns than purely buys WINNER. These results also indicate Taiwan foreign exchange market is not complied with weak form efficiency.