The Momentum Effect and the Corresponding Investors’ Order Submission Strategies in the Taiwan Stock Market

• Main Authors: Jing-Syuan Chien, 簡靖萱
• Other Authors: Chaoshin Chiao
• Format: Others
• Language: zh-TW
• Published: 2005
• Online Access: http://ndltd.ncl.edu.tw/handle/33929310685238681711

碩士 === 國立東華大學 === 國際經濟研究所 === 93 === The purpose of this paper is to inspect the existence of the momentum effect in the Taiwan stock market and analyze investors’ order submission strategies for winner and loser stocks. This paper finds, first, as the government opened the financial markets to foreign investors, the momentum effect strengthened gradually. Second, the examination of order execution data confirms that individual and institutional investors tended to be contrarian and momentum traders, respectively. Domestic security dealers placed orders for winners and losers more aggressively than other investors. Individual investors’ orders, nevertheless, influenced most stock prices in an aggregate manner. Third, when the market condition changed, their submission strategies changed accordingly.