[[alternative]]Analysis Based on Volatility and Size: Examples of Investment Portfolio of Publicly Traded Companies in Taiwan

[[abstract]] 股票的波動一直是投資人每天最在乎的事情，雖然每一次起伏的變化，大多是受到市場供需機制所影響，也有可能因經營策略產生變化。只要能掌握股票供給和需求的消長，自然能有助於掌握股價漲跌的預測。若是能在不同之公司規模下，分析股價波動變動的話，則可提供為投資人參考之資訊，如此將有利於獲取超額報酬的機會。 本研究時間以 2000 年 1 月至 2018 年 8 月，台灣全體上市櫃公司，並區分電子類股、非電子類股為研究樣本，利用每月波動資料及公司規模建構波動投資策略，採用每月換股投資策略並探討在景氣循環與多空市場下之波動變動是否存在超額報酬。 本研究實證結果顯示如下：一.採用每月波動策略時，以台灣全體上市櫃公司，電子類股樣本分類，小型低波動公司投資組合報酬率顯著高於高波動投資組合報酬率與加權指數。二.在景氣循環下，以非電子類股樣本分類，波動變動效應有顯著影響。三.在多空時期下，不論是哪種樣本分類，都存在波動變動效應。[[abstract]] Stock volatility is the most concerned matter for the investors. Every volatility is affected by supply and demand of the market or resulted from business strategy. If only the investor could realize the alternating change in terms of growth and decline of the stock market, prediction on whether it climbs or drops would be possible. If the stock price volatility could be analyzed under the scales of different companies, the information provided would contribute to excess profit. This study includes all the public companies in Taiwan, taking the electronic stocks and non-electronic stocks as samples from January, 2000 to August, 2018. Monthly stock volatility and company scale are adopted to construct the conversion investment strategy, which is used for the study of whether excess profit exists under volatile business cycles and bull and bear markets. The result of this study shows as follows: 1. As for the electronic stocks of the public companies in Taiwan, higher Return on Investment can be seen in small company with low volatility.2. There is non-electronic stocks samples by volatility under business cycles.3. Any sample is affected by volatility under bull and bear periods