Low Volatility Anomaly and Its Predictability

• Main Authors: Guan-Wei Wu, 吳冠緯
• Other Authors: Ting-pin Wu
• Format: Others
• Language: zh-TW
• Published: 2017
• Online Access: http://ndltd.ncl.edu.tw/handle/z45ur4

碩士 === 國立中央大學 === 財務金融學系 === 105 === Low volatility anomaly began to attract attention in recent years because it violates the positive trade-off relation between risk and return illustrated by the traditional financial theory. Researches also find that low volatility anomaly is an empirical phenomenon observed worldwide. Still others want to come up with possible reasons in order to explain this puzzle. This thesis finds that low volatility anomaly also exists in Taiwan stock market, and aims to discuss the relation between the low volatility portfolio and TAIEX. This thesis finds that using one-month formation period with one-month holding period and four-week formation period with one-week holding period and sorting the companies by idiosyncratic risk demonstrates the strongest low volatility anomaly. This thesis also finds that when the volatility of stock market increases, the low volatility portfolio will have a better performance. Finally, this thesis finds that the performance of the low volatility strategy is related to the volatility of stock market and the performance of market portfolio simultaneously. Indeed, low volatility anomaly can reflect the current safe haven effect of stock market.