動能與反向投資策略於中國牛熊市之實證研究

Abstract

本研究想建構一套適用於中國市場的投資策略，並期望能依此操作原則達到有效投資中國股市的目的。本文參考De Bondt and Thaler（1985, 1987）之反向策略，以及Jegadeesh and Titman（1993）之動能策略，且交易量可視為市場中投資者交易行為的主要結果，反映出投資人對於新訊息不一致的認知，所以透過Lee and Swaminathan（2000）加入交易量變數的影響，在中國大陸不同市場態勢下，即牛熊兩市下進行實證分析。 實證分析的結果中發現，中國大陸股市存在簡單價格反轉報酬現象，尤其當持有期縮短至3個月時，反轉報酬現象更顯著。在加入交易量進行深入探討後，發現在中國股市中符合Lee and Swaminathan（2000）的動能生命週期假說，但就交易量而言，低交易量股票組合的反轉效果較為顯著；就過去報酬而言，低交易量組合的表現較高交易量組合為佳，且在輸家組合中更為顯著。最後，探討不同市場態勢，在牛市中，高交易量股票組合的反轉效果較為顯著；而在熊市下，高交易量股票組合及低交易量股票組合若持有較長的期間（6至9個月），會存在顯著的動能效果。說明了交易量能在不同市場狀況下能幫助建構更有效的獲利模式。

This thesis tests and verifies contrarian strategies conceived by De Bondt and Thaler (2000)’s method and momentum strategies conceived by Jegadeesh and Titman (1993)’s method. In the meantime, trading volume plays an important role in deciding the return pattern of stocks. In this paper, I also investigate the profitability of volume-based momentum strategy and contrarian strategy by way of empirical analysis. I combine these two aspects together to test in bull and bear market in China. Below are my main findings. Firstly, the simple price contrarian effect exists in China stock market. After adding the volume element into strategies, the test results conform the hypothesis of Momentum Life Cycle (MLC). Secondly, in terms of trading volume, stocks with low trading volume exhibit higher contrarian returns than stocks with high trading volume. As far as past return is concerned, low-volume portfolios perform well, especially in loser groups. Finally, high-volume portfolios exhibit significant contrarian effect in bull market, while portfolios with both high and low trading volumes exhibit significant momentum effect in bear market.