已開發國家和開發中國家的時間序列動能

Abstract

本研究根據Moskowitz (2010)研究探討29個國家股票指數期貨，發現股票指數期貨不論是已開發國家或是開發中國家，其報酬能維持12個月才會開始反轉，並且透過時間序列動能的分散投資組合在Fama資產定價模型上或是和橫斷面動能之間，都呈現顯著性，也代表著時間序列動能因子存在，另外，在同樣時間，正時間序列動能的累積報酬績效上，比負時間序列動能的績效的效果還更好。

This study is based on the Moskowitz (2010) research, uses data of 29 stock index futures of developed and developing countries and finds the effect of time series momentum persists about 12 months and reverses over long horizons. Abnormal returns in a diversified portfolio of time series momentum deliver statisically significant no matter in standard asset pricing model or cross-sectional momentum. In addition, the return of positive time series momentum is much better than the return of negative time series momentum during same period of time.