Market Dynamics and Momentum Investing in the Taiwan Stock Market

[[abstract]]過去文獻指出在市場狀態下動能投資策略的報酬相當顯著，Asem and Tian (2010)則是認為當市場狀態維持一致時動能投資策略的報酬會顯著大於市場狀態轉換下的報酬，且與市場狀態相比市場動態的動能報酬獲利性更加顯著。因此本文參考Asem and Tian (2010)的作法觀察在台灣證券市場下市場動態的動能報酬獲利性，此外我們也探討在景氣循環、市場波動度、市場流動性和情緒因子四種影響動能報酬的變數下市場動態是否能維持其動能報酬的顯著性。實證結果顯示在控制了不同變數後市場動態的動能獲利性依然相當顯著。另外本文也使用週轉率和資訊離散性來驗證Daniel, Hirshleifer, and Subrahmanyam (1998)的假說，他們認為投資人過度反應的行為是影響市場動態獲利性的原因。[[abstract]]Although recent studies indicate that market states are sensitive to momentum profits. Asem and Tian (2010) show that not only market states, but also the transition in market conditions would affect momentum profits. Therefore we investigate whether changes in market conditions influence momentum profits in the Taiwan stock market. We also take account of business cycle, market volatilities, market liquidity and investor sentiment to explain the effect of market dynamics. We find that even though we consider these variables the momentum profits are still sensitive to market dynamics. In addition our finding consistent with Daniel, Hirshleifer, and Subrahmanyam (1998), who suggest that investor overreaction is the reason cause momentum effect.[[note]]碩