近年來，低波動異常現象逐漸被廣泛的討論，因其違反了傳統的金融學說所 傳達的報酬跟風險正向換底的概念，而相關研究同樣也證實了，低波動異常其實 是一個全球性的現象，除此之外，近期的實證研究證明了低波動異常現象同樣存 在於台灣市場。 本篇研究用台灣公司治理指數與元大高股息共同成分股來建構出所謂低波 動投資組合，希望找出低波動異常現象是否也存在於組合中，並探討低波動投資 組合的報酬率與市場風險的關係。 本篇研究採用周、月、季的期間來計算投資組合的報酬與市場風險，發現當 台灣加權指數波動率上升時，低波動投資組合會有較高的報酬率，而低波動投資 組合的報酬率對於市場風險並沒有一致的預測能力，但研究證實了在月期間的組 合中，低波動投資組合的報酬率確實能正確反映了當下的市場風險。

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. More importantly, recent research had also proved that low volatility anomaly phenomenon also exists in Taiwan market.
This thesis finds that low volatility anomaly also exists in the portfolio of the sharing component stocks of TWSE corporate governance index and Yuanta Taiwan dividend plus ETF. This research uses the sharing component stocks as the low volatility portfolio, aims to discuss the relation between the low volatility portfolio’s payoff and the market risk.
This thesis uses weekly, monthly and quarterly period to calculate the payoffs of the low volatility portfolio and the market risk. This thesis finds that when the volatility of stock market increases, the low volatility portfolio will have a better performance. The payoffs of the low volatility portfolio do not have consistent anticipation power on the market risk. Nonetheless, this thesis also finds that the payoffs of the low volatility portfolio can reflect the current market risk especially in the monthly category.

Chapter 1. Introduction ............................................................................. 1
1-1 Motivation ............................................................................. 1
1-2 Purpose ............................................................................. 3
1-3 Research Framework ............................................................................. 3

Chapter 2 Literature Review. .................................................5

2-1 Companies’ Total Volatility .............................................5

2-2 Idiosyncratic Volatility ................................................6

2-3 Safe Haven Effect .......................................................6

2-4 Informed Trader..........................................................7

Chapter 3 Research Method....................................................8

3-1 Research Hypothesis......................................................8

3-2 Method Framework........................................................ 9

3-3 Research Target.........................................................10

3-4 Variation Elaboration...................................................10

Chapter 4 Research Result...................................................13
4-1 The Relation of Low Volatility Portfolio Payoffs and Market Risk........13
4-2 The Low Volatility Portfolio Payoffs’ Anticipation Power of the Market Risk........................................................................17

Chapter 5 Conclusion and Suggestion.........................................37
Reference...................................................................39

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