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題名 | 臺股報酬率不對稱均值反轉型態與反向投資之研究=Asymmetric Mean-Reversion of Stock Return and Contrarian Strategy in Taiwan |
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作者 | 盧智強; 古永嘉; Lu, Chih-chiang; Goo, Yeong-jia; |
期刊 | 輔仁管理評論 |
出版日期 | 20050500 |
卷期 | 12:2 2005.05[民94.05] |
頁次 | 頁67-97 |
分類號 | 563.54 |
語文 | chi |
關鍵詞 | 市場過度反應; 一月效應; 二月效應; 不對稱非線性平滑轉換GRACH模型; Stock market overreaction; January effect; February effect; ANST-GARCH; |
中文摘要 | 本研究目的是使用不對稱非線性的平滑轉換(ANST)GARCH(M)模型來驗證臺灣上市及上櫃市場股價指數月超額報酬率的不對稱反轉型態與反向投資獲利性之關係。結果發現自1971年01月至2002年12月臺灣加權股價指數及1995年10月至2002年12月上櫃加權股價指數的月超額報酬率均具有不對稱的持續性現象,此現象即是負報酬相對同大小之正報酬持續性存在的時間要短,隱含二超額報酬有可能存在不對稱的反轉現象;且發現反向投資策略的獲利性除來自市場過度反應外也與不對稱反轉現象有關。在考慮「波動性效果」時不對稱的反轉現象仍然顯著;另外,結果發現臺灣加權股價指數月超額報酬率的不對稱反轉現象主要來自「一月效應」,而上櫃加權股價指數月超額報酬率的不對稱反轉現象在考慮「一月效應」時仍然顯著,同時一月份的不對稱反轉現象顯著異於其他月份;在考慮「二月效應」時的驗證結果,二指數月超額報酬率不對稱的反轉現象仍然顯著。 |
英文摘要 | The study adopts asymmetric nonlinear smooth-transition (ANST) GARCH(M) models to evidence for monthly excess returns of TSE weighted stock price indexes over the period of 1971:01-2002:12 and for monthly excess returns of OTC weighted stock price indexes over the period of 1995:10-2002:12. The findings include montly excess stock returns display an asymmetric persistent pattern in which a negative return is relatively less persistent than is the positive return of the same size. It implies that montly excess stock returns are likely to exhibit an asymmetric reverting pattern. The asymmetric reverting behavior of stock returns is undoubtedly exploitable using the contrarian portfolio strategy. Nonetheless, the results remain significant, even with a volatility effect allowed in return reversals. The asymmetric reverting behavior of TSE stock returns is unsignificant by January effect. The result of OTC stock returns remains significant by January effect, and the asymmetric reverting magnitude of January is greater than that of th e others. Both TSE and OTC stock returns remain significant and unaffected by February effect. |
本系統之摘要資訊系依該期刊論文摘要之資訊為主。