The study of momentum strategy of Taiwan electronic stocks

• Main Authors: Che-Chun Kuo, 郭芝君
• Other Authors: Mei-Yuan Chen
• Format: Others
• Language: zh-TW
• Published: 2006
• Online Access: http://ndltd.ncl.edu.tw/handle/80631702033556683235

碩士 === 國立中興大學 === 財務金融學系 === 93 === Jegadeesh and Titman (1993) document the momentum strategy. Investors tend to underreact to new information, so that the stock price has the phenomenon of momentum. With buying the prior winners and selling the prior losers, the momentum strategy has obtained abnormal return over 3–12 months. This study forms the portfolios with1, 3, 6, 9, 12 months formation and holding periods to investigate whether abnormal positive returns in Taiwan stock market in 1991-2005 can be obtained by some investment strategies. We also examine the returns of momentum strategy in business cycle and stock market cycle. Moreover, we use economic indicators and technical analysis diagrams to form the investment portfolios and then to discuss whether these indicators provide useful information on forming strategies. Our empirical results show that the average return of momentum strategy is not significant positive in Taiwan stock market during 1991-2005. However, momentum strategy with information of business cycle and stock market cycle obtain positive profit. The winner portfolio is better than momentum portfolio in the expansion of business cycle and bull market. On the other hand, The loser portfolio perform better than momentum portfolio in the recession of business cycle and bear market. The period of momentum phenomenon in stock market cycle lasts longer than that in business cycle. The momentum portfolio in stock market cycle performs better than that in business cycle. In addition, leading indicator and the technical analysis of Moving Average(MA) provide useful information to investors.