投資人情緒與價格動能之關聯性

Abstract

過去文獻提及動能效應時多以價格動能作為研究的重點，本篇研究著眼於投資人情緒，觀察市場是否具有所謂的情緒動能，以及情緒動能與價格動能之間的關連性。結果發現，情緒動能確實存在，且市場報酬、情緒動能與價格動能之間彼此具有循環的關連性。台灣股市中短期的價格動能與低情緒輸家息息相關，中期的價格反轉則與高情緒輸家密不可分。若將投資人情緒納入考量，傳統的價格動能策略將能夠產生更佳的報酬，在大部分的情況下，採取買進高情緒輸家同時賣出低情緒贏家的投資策略，或者買進情緒動能同時賣出價格動能的投資策略，多能穩定持續地獲取報酬。研究結果有助於投資人完整認識台灣股市的動能現象並進行合宜的投資規劃。

Previous literature pays more attention on price momentum rather than sentiment momentum. This study applies Taiwan stock market data to reinvestigate the issues regarding momentum. Price momentum, sentiment momentum, and the relationship between the price and sentiment momentums are examined. It is found that not only the price momentum but also the sentiment momentum exist in Taiwan stock market. Market returns, sentiment momentum, price momentum have cycle relationship. We also find that the short-middle-term price momentum has connection with low-sentiment losers, and, the middle-term price reversal is related to high sentiment losers. In most cases, the strategy of buying high sentiment losers and selling low sentiment winners, as well as the strategy of buying sentiment momentum and selling price momentum are observed to generate stable positive returns. This result is helpful for investors in making their long term investment plans.