The Power of Momentum in Different Industries

• Main Authors: Pai Chun, 蕭百鈞
• Other Authors: Jun-Biao Lin
• Format: Others
• Language: en_US
• Published: 2011
• Online Access: http://ndltd.ncl.edu.tw/handle/36184871527937225466

碩士 === 國立高雄第一科技大學 === 金融研究所 === 99 === This paper examines whether the momentum effect exists under different industries. The data are from NYSE, AMEX, and NASDAQ stocks, and according to Moskowitz and Grinblatt(1999), 20 value-weighted industry portfolios are created. Our methodology consists of two different tests: First, we examine whether the industry option portfolio violate the boundary conditions. In addition we measure the size of momentum effect for every industry option portfolios. Second, by using the implied volatility, we compare the magnitude of momentum effect between different industry portfolios. Both of these two methods show the existence of momentum effect. Using the boundary conditions violation, we find that the momentum effect are strong in Construction and Utilities industry. However, the momentum evidence strong in Other industry, if the implied volatility method is used.