市場狀態與波動度對股價動能現象之影響

Abstract

本研究以Asem and Tian (2010)中區分市場狀態以及其動能策略方法下進一步延伸，使用報酬率將市場狀態中區分出波動度高低市場，並採投資組合形成期與持有期皆為六個月架構動能組合，而市場狀態與波動度時段區分則以過去12、24、36個月建構，欲探測市場狀態與波動度對於動能報酬之影響，而本研究在區分市場狀態時，實證結果發現在考量波動度因素後，僅在過去市場狀態為向下並且當前市場狀態亦為向下的同向市場狀態時，Fama-French模型中前24以及36個月的市場狀態在低波動度下的超額報酬顯著高於高波動度市場，符合本研究的預期假設，意即在相同的過去市場以及當前市場狀態下區分出其波動度高低時，在波動度較低時，投資人過度自信的現象會加強，因而動能策略會在低波動度市場狀態下獲利更多，然而本研究發現在過去12個月時低波動度的市場並不顯著高於高波動度市場，本研究推估可能原因是由於12個月的期間較短，不易捕捉到波動度對動能報酬的影響，由於股票市場下跌時往往波動度會大於上漲時，因而也造成在過去以及當前市場狀態同為下跌市場時波動度較大，在下跌市場狀態下更容易捕捉到波動度對股市動能之影響。

Recent evidence indicates that momentum profits are sensitive to market state. However few theses study the impact of market state and volatility on momentum. This study extends the paper by Asem and Tian (2010) in terms of market state (UP or DOWN) and momentum strategy. The rate of market return is used to classify the market state. The portfolio formation and holding periods used to structure momentum strategy are both six months long. The market state and volatility’s time periods are constructed for 12, 24, and 36 months in order to observe the impact of market state and volatility on stock price momentum. This study found that after considering the volatility factor, only when the past and current market state were both DOWN in the prior 24 and 36 months in the Fama - French model were the abnormal returns in low volatility markets significantly higher than in the high volatility markets. This is consistent with the assumptions of this study which were that the investor's overconfidence would be strengthened when the volatility is low, so momentum strategy would be more profitable in low volatility markets than in high volatility markets. In this study, the momentum profits during 12 months in low volatility market were not significantly higher than in the high volatility market. The reason we believed this occurred is that the 12-month period is relatively short, and it is difficult to capture the impact of volatility on price momentum. When the stock market declines, the volatility tends to be greater than when it rises. There is also more dramatic volatility in the past and the current market state are both down markets. Therefore in DOWN market state, it is easier to capture the impact of volatility on the stock momentum.