| Summary: | 碩士 === 國立交通大學 === 財務金融研究所 === 107 === This study explores the existence of Momentum factor in Taiwan stock market. We analyze corporations from 1995 to 2018 to detect the performance of Winner, Loser, and Momentum(W-L) portfolios constructed by different information period(J) and holding period(K). The performance of the Winner portfolio is more positive, and the Momentum strategy is not significant. In addition to the combination of J and K, we also consider the impact of different sub-periods and quarters and then finds that the performance of Winner portfolio has strong periodicity and seasonality. The sub-period from 2013 to 2018 and season one(Jan-Mar) are more significant.
We further study the relationship between market states and the performance of Momentum strategy. We found that the market states and the Winner portfolio's performance are most relevant. In the better market state period, Winner portfolio has a higher positive return. Finally, after filtering market indicators, we constructed a Winner portfolio based on multiple-filtering market states, which is more suitable for the Taiwan stock market. The results show that multiple-filtering is a useful way to enhance the return of Winner portfolio.
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