FURTHER RESEARCH OF THE MOMEMTUM LIFE CYCLE IN TAIWAN STOCK MARKET

• Main Authors: Kuang-Hua Chen, 陳光華
• Other Authors: Sheng-Yuan Chen
• Format: Others
• Language: zh-TW
• Published: 2000
• Online Access: http://ndltd.ncl.edu.tw/handle/72988425008842869439

碩士 === 銘傳大學 === 金融研究所 === 88 === Lee & Swaminathan(1999) document the Momentum Life Cycle，and use the past trading volume to predicts the magnitude and persistence of price momentum. Besides, they showed that past trading volume helps to reconcile intermediate-horizon “underreaction” and long-horizon “overreaction” effects. The purpose of this paper is to investigate the relationship between price momentum and abnormal turnover rate in Taiwan Stock Market. Using the methodology from Lee & Swaminathan(1999), and weekly data from common stock listed in Taiwan Stock Market during the period 1987 — 2000. According to the empirical result, this study gets the following conclusion： (1) Before the day which portfolios were established, the turnover rate of the Winner portfolio was increasing. The turnover rate of Loser portfolio was increasing in the short-horizon but decreasing in the long-horizon. The turnover rate of the Middle portfolio was decreasing. (2) Before the day which portfolios were established, this study found the positive relation between absolute return and abnormal turnover rate. (3) After the day which portfolios were established, the abnormal turnover rate of high abnormal turnover rate portfolios are decreasing, but the abnormal turnover rate of low abnormal turnover rate portfolios are increasing. (4) There have the effect of abnormal turnover rate in Taiwan Stock Market. And this effect is most pronounced among Winner portfolio. (5) There have the effect of price momentum in Taiwan Stock Market. But this effect is only pronounced in the short-horizon. (6) There have the Momentum Life Cycle in Taiwan Stock Market. (7) Using the modified early stage momentum strategy can capture the stocks which were underreaction. And using the modified late stage momentum strategy can capture the stocks which were overreaction. (8) The performance of the modified MLC strategy is better than MLC strategy and Simple Momentum Strategy. (9) Using the 3 or 6 weeks in short-term moving average turnover rate and 36 weeks in long-term moving average turnover rate can capture better performance.