動能策略與反向策略在台灣指數期貨市場之獲利能力

Abstract

本論文在探討短中長期運用動能及反向投資策略，在台灣指數期貨的獲利情況，動能投資策略指的是買入並持有在過去表現較好的指數期貨，賣出表現較差的；反之反向投資策略則是買入在過去表現較差的指數期貨，賣出表現較好的。搭配不同長短期的資訊期間及持有期間分析以上兩種投資策略，進而產生 162 種投資策略的獲利情況，並就其獲利狀況作檢定。其結果發現，持有期間1個月的動能投資策略較有可能出現獲利，而反向投資策略在持有時間為 12-60 月的狀況時，大多出現顯著獲利的情形。

This study investigates the profitability of momentum strategies and contrarian strategies in Taiwan Index Futures Market in terms of different time periods from short-term to long-term. Momentum strategies indicate buying and holding high return index futures and selling the low ones. On the contrary, contrarian strategies refer to buying low and selling high. With different ranking and holding periods, 162 different scenarios of profitability are generated and further analyzed in this study. The findings suggest that momentum strategies practically generate huge profits with 1-month holding period, while contrarian strategies mostly lead to massive profits with 12- to 60-month holding periods.