A study of the Momentum Strategies of Price ,Turnover Rate ,and Volatility Rate on Taiwan Open-End Funds

• Main Authors: Pei-Jung Chiang, 江佩容
• Other Authors: 作者未提供
• Format: Others
• Language: zh-TW
• Published: 2008
• Online Access: http://ndltd.ncl.edu.tw/handle/h3n987

碩士 === 銘傳大學 === 財務金融學系碩士在職專班 === 96 === This study mainly focuses on profit-making situation of momentum investment strategy in Taiwan’s mutual fund market. The research objective is to discuss the timing of momentum investment strategy, by studying the Taiwan’s stock open-end fund from Jan 2002 to Dec 2007. To sum up various results and analysis, the conclusions are listed below: 1. When based on rate of returns as the investment strategy of momentum investment, the evidence proves that investors could get higher return by holding the investment portfolio in a middle-long term. 2. When based on turnover rate as the investment strategy of momentum investment, it is proven that in a middle-long term, the return of mutual funds with higher turnover rate is higher than the ones with lower turnover rate. 3. When based on volatility rate as the investment strategy of momentum investment, as expected by investors, the mutual funds with higher volatility rate have a better performance. 4. When the investment portfolio combines fund net value return with turnover rate, winner''s high turnover rate portfolio of funds could generate price momentum effect, it is proven that turnover rates construct winner''s portfolio of Funds has higher return. 5. When the investment portfolio combines fund net value return with volatility rate, no matter winner or loser combination, it generates volatility rate Momentum effect in a long run. Keyword: mutual funds, price momentum, turnover rate, volatility rate