The Performance of Momentum and Contrarian Strategies: Evidence from the Taiwan Stock Exchange

• Main Authors: Kuei-yuan Wang, 王癸元
• Other Authors: Yen-Sheng Huang
• Format: Others
• Language: en_US
• Published: 2008
• Online Access: http://ndltd.ncl.edu.tw/handle/18642694157542224651

博士 === 國立臺灣科技大學 === 企業管理系 === 96 === The purposes of this dissertation are to examine: (1) the intraday performance of contrarian strategies for stocks listed on the Taiwan Stock Exchange (TSE); (2) the effects of relative strength on momentum strategies for stocks listed on the TSE; and (3) the impact of market states on the performance of momentum strategies for stocks listed on the TSE. This dissertation follows the calculation of the contrarian profits of De Bondt and Thaler (1985) to explore. First, the empirical results of the intraday analysis indicate significantly positive abnormal returns for the contrarian strategies. Moreover, the abnormal returns earned by the contrarian strategies are higher in the opening and the closing intervals than in the middle of the trading day. Second, the momentum profits are more likely to occur for the upward portfolio than for the downward portfolio. Third, market states in the formation period are positively associated with the profitability of the momentum strategies. However, the momentum profits appear to be higher in a bearish holding period and lower for a bullish holding period. Thus, the market states in the holding period also provide information regarding the profitability of the momentum strategies.