本文研究主要是將三種增強型動能策略(固定波動度調整 cMOM、固定半波動度 調整 sMOM、動態調整 dMOM)應用於邊境市場，比較其與傳統動能策略 MOM 的 績效表現差異。研究使用了 MSCI 邊境市場指數中的市值前五大國家作為代表，最後 依市值加權形成邊境市場，樣本期間涵蓋 2013 年 7 月至 2022 年 12 月。
實證結果發現:首先三種增強型策略整體優於傳統 MOM，尤其是 dMOM 策略; 接著增強型動能因子對基本因子模型具有額外解釋力，但任一增強型動能因子無法解 釋彼此;然後分析了考慮交易成本後的策略可行性，在考慮交易成本後，如果 MOM 可於邊境市場實行，則增強型動能策略則必定可實行。最後，也進行了額外測試，調 整預測波動度估計天數對結果的影響，得出使用短天期預測波動度能較好地捕捉波動特性。
總的來說，這是一篇嘗試將過去文獻中基於波動度管理的增強型動能策略應用到 邊境市場的實證研究。分析其在這類高風險市場中的效果，並與傳統策略進行比較， 以驗證其穩健性和優勢，對於動能策略和邊境市場的研究都有一定意義和啟發。

The main research of this paper is to apply three enhanced momentum strategies (cMOM with fixed volatility scaling, sMOM with fixed semi-volatility scaling, and dMOM with dynamic scaling) to the frontier markets, and compare their performance with the traditional momentum strategy MOM. The research uses the top five countries by market capitalization in the MSCI Frontier Markets Index as representatives, and ultimately forms the frontier market by weighting according to market capitalization. The sample period covers July 2013 to December 2022.
The empirical results show that the three enhanced strategies outperform the traditional MOM, especially the dMOM strategy. Next, the enhanced momentum factors provide additional explanatory power over the basic factor model, but no single enhanced momentum factor can explain the others. Then, the feasibility of the strategies considering transaction costs is analyzed. If MOM can be implemented in frontier markets, then the enhanced momentum strategies must also be feasible. Finally, additional tests are conducted by adjusting the forecast horizon for estimating volatility, finding that using a shorter forecast horizon better captures the volatility dynamics.
In summary, this is an empirical study that attempts to apply the volatility-managed enhanced momentum strategies from past literature to frontier markets. It analyzes their effects in these high-risk markets and compares them with the traditional strategy to verify their robustness and advantages. The study is meaningful and insightful for research on momentum strategies and frontier markets.

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