本研究檢驗外幣動能策略下，探究投資人情緒對外匯報酬動能的影響。在投資人情緒高漲期間，外幣動能當週(t=0)投資組合持都具有顯著的報酬率。但是高動能與低動能之投資組合只在持有當週上具統計上顯著的差異性；其次，在投資人情緒平穩期間，外幣動能對所有投資組合都具有顯著性，且到了持有8~12週後，部分投資組合則具長期顯著性。但是高動能與低動能之投資組合在當期與12週後具統計上顯著的差異性；接著，在投資人情緒低落期間，外幣動能對所有投資組合在持有短期內都具有顯著性，且到了持有5~6週與8~9週後則仍具長期顯著性。但是高動能與低動能之投資組合僅於持有當週、1、5週時才具統計上顯著的差異性。 This thesis empirically investigates the impacts of investor sentiment on currency portfolio returns based on momentum strategies. During the period of higher investor sentiment, currency momentums present statistically significant at t=0 while portfolio on winner-loser shows significant differences in returns at t=0. Moreover, during the period of moderate investor sentiment, all portfolios on currency momentums exhibit statistically significant at t=0, particular in 8-12 weeks holding for long-term at statistically significant. However, portfolio on winner-loser shows significant differences in returns after 12 weeks. Finally, during the period of lower investor sentiment, all portfolios on currency momentums present statistically significant in sort-term, particular in 5-6 and 8-12 weeks holding at statistical significance.
