Pacific-Basin Finance Journal·Volume 38,June 2016, Pages 59–75

台湾股市的市场动态和动量

作者：Chaonan Lina,Kuan-Cheng Kob,Zhi-Xiang Fengb,Nien-Tzu Yang

摘要：大量的已有文献说明台湾股市没有显示出动量溢价🐈‍⬛。我们将这种现象归因于市场的频繁转换，并假设当考虑市场动态影响时🛜，动量策略是可以盈利的。为了证实这个观点🥷🏿，我们证明了当市场持续处于相同状态时是可以获得显著的动量利润的。然而，在市场转换时期的动量策略表现出显著的逆转结果🅿️。我们提供了支持投资者过度自信假设的依据，该假设能解释我们的发现，这个依据就是显著为正的动量利润集中在吸引更多投资者注意的股票中。进一步的调查显示，在加入数个控制变量后🥤，我们的结果是稳健的，暗示了在台湾进行动量投资时，市场动态的独特性和重要性。

关键词：市场动态，动量利润，投资者过度自信🧳，台湾股市

Market dynamics and momentum in the Taiwan stock market

Chaonan Lina,Kuan-Cheng Kob,Zhi-Xiang Fengb,Nien-Tzu Yang

Abstract

Prior literature widely documents that the Taiwan stock market exhibits no momentum premium. We attribute this phenomenon to the frequent transitions of the market and hypothesize that the momentum strategy can be profitable when the effect of market dynamics is taken into consideration. Confirming this notion, we document significantly positive momentum profits in Taiwan when the market continues in the same state. The momentum strategy during periods of market transitions, however, exhibits significant reversals. We provide evidence in support of the overconfidence hypothesis in explaining our findings by showing that the significantly positive momentum profit is concentrated in stocks that attract more investor attention. Further investigations show that our results are robust to the inclusion of several conditioning variables, suggesting the uniqueness and importance of market dynamics in momentum investing in Taiwan.

Keywords: Market dynamics, Momentum profits, Investor overconfidence, Taiwan stock market

原文链接🩷：

http://www.sciencedirect.com/science/article/pii/S0927538X16300397

翻译🦢：何杉