Market Abnormal Trading Volume and Momentum

[[abstract]]先前的文獻提出異常交易量等事件可以吸引投資人的關注，也認為投資人的關注程度是決定投資決策的重要因素。因此本文參考Barber and Odean (2008)的做法，利用異常交易量作為投資人的關注程度的指標，探討台灣證券市場下市場動能的動能報酬獲利性，並發現在低關注程度的狀態下，台灣證券交易市場的動能策略有顯著的報酬。此外我們也探討景氣循環、市場狀態、市場動態、市場波動度、市場流動性，以觀察此五種影響動能報酬的變數在低關注程度中是否能維持其動能報酬的顯著性。[[abstract]]The previous literature suggests abnormal trading volume can attract the attention of investors, the attract of investor is an important factor in deciding investment decisions. According to Barber and Odean (2008), this paper uses abnormal trading volume as the attention of investors to explore the momentum profitability of the market dynamics under the Taiwan stock market. We found that in the state of low attention, the momentum strategy in Taiwan stock market has a significant return. We also take account of market states, market dynamics, business cycle, and market volatilities to explain the effect of market abnormal trading volume and momentum. We find that even though we consider these variables the momentum profits are still sensitive to abnormal trading volume.[[note]]碩