近幾年因Covid-19疫情的爆發，引發全球生活方式的改變，台海危機的加劇，以及美國為了降低通貨膨脹率而施行連續的降息政策，以上種種事件，都對台灣產業造成極大的影響，也使台灣股票市場產生極大的波動，過去傳統的購買並持有投資策略或許已不再奏效，因此一個能夠穩定且有效獲利的投資策略是目前投資人所急切需要的，其中價格動能策略為過去及現在許多基金經理人皆使用之投資策略，因此本研究欲找出最佳之價格動能策略。
本研究的目的是根據台灣之上市櫃公司股價資料計算報酬率，以構建價格動能投資組合，觀測是否存在超額報酬，並且根據從眾行為強度指標MOM判斷動能生命週期，並根據MOM建構動能投資組合同時加入股票及債券恐慌指數，觀察動能投組績效以及生命週期變化，最後再將樣本期間再區分為新冠疫情前中後三個部分，觀測不同樣本期間結果之異同。
實證結果顯示， 公司規模只有在疫情期間對股價報酬有顯著的正向影響，然而在考慮從眾強度後，公司規模在每個時間段都對股價有顯著的負向影響。在從眾強度為1及2的投資組合中β_0截距項皆對投資組合報酬有顯著的負向影響，表示是兩個投資組合都不存在超額報酬。而VIXVolatility Index (Volatility IndexVIX)在從眾強度為1及2的投資組合中，所有時間段都對投資組合報酬率沒有顯著的影響。另外我們發現 MOVEMerrill Lynch Option Volatility Estimate(Merrill Lynch Option Volatility EstimateMOVE)在兩種投資組合中，只有在疫情後的時間段對投組報酬率存在顯著的正向影響，其於時間段皆沒有顯著的影響。

In recent years, the outbreak of Covid-19 has led to changes in global lifestyles. These events have had a significant impact on Taiwan's industries and have caused significant fluctuations in the Taiwanese stock market. The traditional buy-and-hold investment strategy may no longer be effective. Therefore, a stable and effective investment strategy is urgently needed by investors. The price momentum strategy is a commonly used investment strategy by many fund managers in the past and present. Therefore, this study aims to find the best price momentum strategy.
The purse of this study is to construct a price momentum investment portfolio based on the stock price data of listed companies in Taiwan, calculating the returns, and observe if there are excess returns. The study also evaluates the momentum life cycle based on the herding indicator, MOM, and constructs a momentum investment portfolio by incorporating both VIX(volatility index) and the MOVE(Merrill Lynch Option Volatility Estimate Index) to observe the performance of the momentum portfolio and the changes in the momentum life cycle. Finally, the sample period is further divided into three parts: pre-Covid, during Covid, and post-Covid, to observe the similarities and differences in the results.
The empirical results show that firm size has a significant positive correlation with stock returns only during the covid-19 period. However, when considering herding indicator, firm size has a significant negative correlation with stock prices in all time periods. In the investment portfolios with herding indicator of 1 and 2, the intercept is significantly negatively correlated with portfolio returns, indicating that both portfolios do not generate excess returns. Regarding the impact of VIX on the investment portfolios with herding indicator of 1 and 2, there is no significant influence on portfolio returns in all time periods. Additionally, it is found that MOVE has a significant positive correlation with portfolio returns only in the post-covid period, while it does not show a significant relationship in other time periods.

目錄
第一章  緒論	1
第一節	動能策略和市場條件	1
第二節	研究動機	2
第三節	研究目的	3
第四節	研究流程	4
第五節	研究架構	6
第二章 文獻回顧	7
第一節 動能策略與投資人情緒相關性	7
第二節 動能生命週期之發展文獻	9
第三節 恐慌指數相關文獻	10
第三章 研究方法	13
第一節 變數定義	13
第四章 實證結果	20
第一節 資料來源	20
第二節 敘述統計量	21
第三節 實證結果與分析	23
第五章  結論與建議	29
第一節 研究結論	29
第二節 研究建議	30
參考文獻	31




表格目錄
【表3-1】從眾行為強度變數計算範例..............................………………………13
【表3-2】三因子模型投資組合區分……………………………………………...15
【表4-1】台灣上市櫃公司所有特性變數之敘述統計量表……………………...22
【表4-2】台灣上市櫃公司所有特性變數在各時間段實證結果……………….23
【表4-3】從眾強度為一之公司特性變數在各時間段實證結果………………24
【表4-4】從眾強度為一之四因子、恐慌指數估計結果………………………..26
【表4-5】從眾強度為二之四因子、恐慌指數估計結果………………………..27

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