股票價格動能之驅動因素

Abstract

當市場流動性愈高時，通常代表套利更容易進行，股價的異常現象也會較少，但Avramov, Cheng and Hameed (2016)實證結果顯示市場流動性與動能報酬呈正向關係，即市場流動性愈高則動能報酬愈高。本研究重新驗證後雖呈現相同結果，但卻發現市場流動性對動能報酬的預測關係在不同市場狀態下會存在差異，當市場持續上漲時，市場流動性對動能報酬的預測能力會由正向轉為負向，此時市場流動性與動能報酬的關係與直覺較為相符，此外，投資人情緒也會影響變數對動能報酬的預測能力，當投資人情緒較低時，會加強市場周轉率及市場波動率對動能報酬的影響。

Arbitrage is easier when markets are more liquid, and hence the profitability of anomaly-based trading strategies should be lower. However, Avramov, Cheng and Hameed (2016) find that moment profits are larger in liquid market. This study verifies their findings and get the same results, and this study further finds that the relation between market liquidity and momentum profits depend on market states. When the market continues to rise, market liquidity negatively predicts future momentum profits. The above-mentioned findings are more consistent with basic intuition. Additionally, predictive impact of market turnover and market volatility on momentum profits are affected by investor sentiment. When investor sentiment is low, market turnover and market volatility have greater predictive impact on future momentum profits.