漲跌幅限制下資訊相關股的動能交易策略

Abstract

本篇研究主要依據Guo et al. (2016) 的研究延伸，其研究顯示在漲跌停期間，資訊相關股票的價格變動更大，也就是漲得更多或是跌得更多。故本研究先藉由在個股觸及漲跌停限制下，根據資訊相關股的超額報酬進行排序，買進個股漲停時超額報酬較高的資訊相關股、放空跌停時超額報酬較低的資訊相關股，藉此動能策略來探討是否能獲得顯著報酬。研究結果顯示在漲跌停個股漲跌停期間，資訊相關股會呈現續漲及續跌的情況，此時利用該現象建構投資組合能獲得顯著報酬，此外高自然人交易比重對於投資組合報酬有增強的效果，說明了自然人在面對漲跌停資訊時，容易有反應不足的情況，使得價格無法到達應有水準而使投資組合有獲利的空間。而本研究利用資訊揭露程度來區分後發現以報章雜誌為主的資訊公告，能使投資組合獲得較多的報酬。

According to Guo et al. (2016) , it demonstrates that the prices of stocks are more volatile during the period of price limits, which means stocks would rise more or drop more. Hence, under the limit of price limits, first, we sort the informationally related stocks by their excess returns. Then, we buy the stocks with higher excess returns during the time of harden, and sell the stocks with lower excess returns during the time of drop stop. We want to discuss whether the above momentum strategy can obtain the significant excess returns or not. The result shows that stocks will continue to rise (drop) during the time of harden ( drop stop), and we can use this situation to construct investment portfolios to obtain significant returns. Furthermore, the higher trading percentage of natural person has enhanced effect for the investment portfolio returns, which explains that natural person would be under reaction when confronted the information of price limit. At the same time, the price of stock would not reach to the appropriate level, which make investment portfolios gain more returns. After separating the information announcement by the level of disclosure, we find that the announcement of newspapers and magazines can make investment portfolios obtain more returns.