| Summary: | 碩士 === 國立高雄第一科技大學 === 風險管理與保險所 === 97 === Based on the momentum strategy proposed by Jegadeesh and Titman (1993), investors can be influenced by either the macroeconomic or sentimental factors when they are making investing decisions. This study investigates how both the macroeconomic factors and the market transaction data which is the proxy of investor sentiment impact on stock returns. The results show that trading based on the short-term momentum strategy generates higher return than on the long-term momentum strategy. That is due to the high correlation between the stock financing and turnover, the proxies of investor sentiments. In the long run, the downturn shows and macroeconomics factors still play a critical role. The market index influences the willingness of investments. Especially, the misery index significantly related to the stock returns. In sum, both the macroeconomic and investor sentiment factors are not sufficient to explain the performance of momentum strategy.
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