Pacific-Basin Finance Journal Volume 38, June 2016, Pages 59-75

台湾股票市场的动态和动量

作者：Chaonan Lin (Xiamen University), Kuan-Cheng Ko (National Chi Nan University), Zhi-Xiang Feng (National Chi Nan University), Nien-Tzu Yang (Asia University)

摘要：已有文献普遍认为台湾股票市场没有展现出动量升水现象。我们将此现象归结为市场的频繁交易，并且假设当市场动态因素被考虑进去的时候动量策略是能够盈利的。事实证明确实如此，我们发现当市场持续在相同状态时，在台湾出现显著为正的动量盈利。但是，在市场交易阶段的动量策略却展现出显著的反转。通过证明显著为正的动量利润主要集中于吸引更多投资者注意的股票，我们支持过度自信的假说来解释我们的发现。进一步的调查显示我们的结论在加入几个条件变量时仍是稳健的，这说明市场动态在台湾动量投资的独特性和重要性。

Market dynamics and momentum in the Taiwan stock market

Chaonan Lin (Xiamen University), Kuan-Cheng Ko (National Chi Nan University), Zhi-Xiang Feng (National Chi Nan University), Nien-Tzu Yang (Asia University)

ABSTRACT

Prior literature widely documents that the Taiwan stock market exhibits no momentum premium. We attribute this phenomenon to the frequent transitions of the market and hypothesize that the momentum strategy can be profitable when the effect of market dynamics is taken into consideration. Confirming this notion, we document significantly positive momentum profits in Taiwan when the market continues in the same state. The momentum strategy during periods of market transitions, however, exhibits significant reversals. We provide evidence in support of the overconfidence hypothesis in explaining our findings by showing that the significantly positive momentum profit is concentrated in stocks that attract more investor attention. Further investigations show that our results are robust to the inclusion of several conditioning variables, suggesting the uniqueness and importance of market dynamics in momentum investing in Taiwan.

原文链接：http://www.sciencedirect.com/science/article/pii/S0927538X16300397

翻译：阙江静