[[alternative]]Momentum, Asymmetric Volatility and Idiosyncratic Risk--The Example of Listed Electronic and Noneletronic Stock

[[abstract]] 本研究以Fama和French (1992, 1993)三因子模式結合GJR-GARCH-M模型加以檢驗探討動能報酬是否能被特殊風險險所衡量，並探討資產報酬對好壞消息的衝擊並不相同。研究期間為2010年1月至2021年9月，以台灣上市櫃公司為研究樣本並分類成電子類及非電子類。研究結果發現，全體上市櫃組成之動能投資組合是具有波動性不對稱性。其次，透過電子類與非電子類去組成動能投資組合，發現以電子股中的贏家波動不對稱較為明顯。最後，針對動能投資組合與特殊風險的關係作為探討，發現特殊風險對於電子股的動能投資組合解釋能力較非電子股來的好。[[abstract]] In this study, the GJR-GARCH-M model combined the three-factor model of Fama and French (1992, 1993), is used to test whether momentum returns can be measured by idiosyncratic risk, and to explore whether the impact of good and bad news on asset returns is not the same. The research period is from January 2010 to September 2021. Taiwan listed companies are used as research samples and are classified into electronic and non-electronic categories. The research results found that the momentum portfolio composed of all listed companies has volatility asymmetry. Secondly, through electronic and non-electronics to form a momentum portfolio, it is found that the volatility of winners in electronic stocks is more asymmetrical. Finally, the relationship between momentum portfolio and idiosyncratic risk is discussed, and it is found that idiosyncratic risk has better explanatory power for the momentum portfolio of electronic stocks than non-electronic stocks