The Power of Momentum in Different Industries

[[abstract]]本文主要是檢測不同產業下是否具有動能效果以及比較各產業股票動能效果的大小。使用美國紐約證券交易所(NYSE)、美國證券交易所(AMEX)以及那斯達克(NASDAQ)上市公司股價資料，並且根據Moskowitz 及 Grinblatt(1999)的研究，組成20個產業投資組合。我們的研究方法主要是由兩種不同的方法來做檢測。一、利用邊界條件違反的大小來判斷，何產業具有動能效果以及比較動能效果的強弱。二、用隱含波動率的方法，利用隱含波動率大小來看在不同產業中動能效果強弱，即買權、賣權隱含波動率差異，來判斷何種產業動能效果較強烈。結果，兩種方法皆可看出具有動能效果。使用邊界條件違反法，動能效果在建築以及公共產業中最強烈；使用隱含波動率法發現，動能效果在其他產業中最強烈。[[abstract]]This paper examines whether the momentum effect exists under different industries. The data are from NYSE, AMEX, and NASDAQ stocks, and according to Moskowitz and Grinblatt(1999), 20 value-weighted industry portfolios are created. Our methodology consists of two different tests: First, we examine whether the industry option portfolio violate the boundary conditions. In addition we measure the size of momentum effect for every industry option portfolios. Second, by using the implied volatility, we compare the magnitude of momentum effect between different industry portfolios. Both of these two methods show the existence of momentum effect. Using the boundary conditions violation, we find that the momentum effect are strong in Construction and Utilities industry. However, the momentum evidence strong in Other industry, if the implied volatility method is used