Momentum Effect and Economic Cycle in Taiwan

動能效應指出買進過去報酬較高的股票而放空過去報酬較低的股票能夠產生顯著的超額報酬。過去的研究已經發現在美國和歐洲的股票市場可能存在顯著的動能效應，但是對於某些新興市場的一些研究卻發現其動能效應並不十分顯著，有時甚至是呈現負的動能效應。動能效應的起因在過去的文獻中有許多解釋，包括投資人傾向對於市場消息反應不足，或是一些行為上的偏誤。而這些原因所造成的影響又可能藉由市場行情的波動而被放大或是壓抑，所以動能效應的強弱在不同的時間點也會有不同的展現。本文嘗試去解釋台灣股票市場的動能效應強弱和市場行情波動間的關係，並且連結到台灣幾次重大的總體經濟事件。本篇論文的結果顯示動能效應的確會隨著時間改變而非穩定，而且也確實會隨著景氣循環而波動。一般而言在景氣佳時會有比較顯著的動能效應，而景氣不好時則會弱化甚至消失反轉。Momentum effect in stock markets indicated that buying stocks with high past return and selling those with poor past performance can generate abnormal return. It has been found that momentum investment strategy can generate abnormal return in USA and European stock markets. However, momentum effect is weak, inexistent and even negative in some emerging markets, according to some researches. Momentum effect could be strong or weak through time, and the momentum effect may stem from under-reaction to prices or some cognitive biases. Those causes could be further attributed to investors’ sentiment. As a result, the magnitude of momentum effect could be affected by the market sentiment. The purpose of this thesis is to examine the relationship between market sentiment and momentum effect in Taiwan stock market, and link the economic cycle with the magnitude of momentum effect. The result shows that momentum effect could vary with the time and the economic cycle. The momentum effect tends to be stronger when market is bullish and disappear when market is bearish