Refinement of momentum strategy The empirical study of Taiwan Stock Exchange Market
碩士 === 國立中正大學 === 會計學研究所 === 93 === Jegadeesh and Titman (1993)(JT) prove the momentum trading strategy which buys (sells) stocks based on high (low) returns over the previous 3 to 12 months and hold them for the same period can make significantly abnormal profits of about one percent per month. How...
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ndltd-TW-093CCU003850472015-10-13T11:39:20Z http://ndltd.ncl.edu.tw/handle/65058602263195896435 Refinement of momentum strategy The empirical study of Taiwan Stock Exchange Market Huang, Wei-Ling 黃韋菱 碩士 國立中正大學 會計學研究所 93 Jegadeesh and Titman (1993)(JT) prove the momentum trading strategy which buys (sells) stocks based on high (low) returns over the previous 3 to 12 months and hold them for the same period can make significantly abnormal profits of about one percent per month. However, Hameed and Yuanto (2002) show momentum trading strategy aren’t significantly profitable in pacific basin stock markets. They find that the mean return of the zero-cost country-neutral portfolio is statistically significant (.37 percent per month), while the average return in Taiwan is the highest but not statistically significant, and the standard deviations of average excess for the six sample countries are larger than that of the zero-cost country-neutral portfolio, which means the risks of the unrestricted momentum strategy is mainly ascribed to country-specific factors. They also find that the condition of Taiwan stock market will influence the magnitude of momentum profits and some factors may exist, affecting the profitability of momentum profitability in Taiwan stock market. Therefore, this paper endeavors to find the factors to refine momentum strategy, and hopes these factors make momentum strategies more profitable in Taiwan stock market. Lin, Yuah-chiao 林岳喬 2005 學位論文 ; thesis 30 en_US |
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碩士 === 國立中正大學 === 會計學研究所 === 93 === Jegadeesh and Titman (1993)(JT) prove the momentum trading strategy which buys (sells) stocks based on high (low) returns over the previous 3 to 12 months and hold them for the same period can make significantly abnormal profits of about one percent per month.
However, Hameed and Yuanto (2002) show momentum trading strategy aren’t significantly profitable in pacific basin stock markets. They find that the mean return of the zero-cost country-neutral portfolio is statistically significant (.37 percent per month), while the average return in Taiwan is the highest but not statistically significant, and the standard deviations of average excess for the six sample countries are larger than that of the zero-cost country-neutral portfolio, which means the risks of the unrestricted momentum strategy is mainly ascribed to country-specific factors. They also find that the condition of Taiwan stock market will influence the magnitude of momentum profits and some factors may exist, affecting the profitability of momentum profitability in Taiwan stock market.
Therefore, this paper endeavors to find the factors to refine momentum strategy, and hopes these factors make momentum strategies more profitable in Taiwan stock market.
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author2 |
Lin, Yuah-chiao |
author_facet |
Lin, Yuah-chiao Huang, Wei-Ling 黃韋菱 |
author |
Huang, Wei-Ling 黃韋菱 |
spellingShingle |
Huang, Wei-Ling 黃韋菱 Refinement of momentum strategy The empirical study of Taiwan Stock Exchange Market |
author_sort |
Huang, Wei-Ling |
title |
Refinement of momentum strategy The empirical study of Taiwan Stock Exchange Market |
title_short |
Refinement of momentum strategy The empirical study of Taiwan Stock Exchange Market |
title_full |
Refinement of momentum strategy The empirical study of Taiwan Stock Exchange Market |
title_fullStr |
Refinement of momentum strategy The empirical study of Taiwan Stock Exchange Market |
title_full_unstemmed |
Refinement of momentum strategy The empirical study of Taiwan Stock Exchange Market |
title_sort |
refinement of momentum strategy the empirical study of taiwan stock exchange market |
publishDate |
2005 |
url |
http://ndltd.ncl.edu.tw/handle/65058602263195896435 |
work_keys_str_mv |
AT huangweiling refinementofmomentumstrategytheempiricalstudyoftaiwanstockexchangemarket AT huángwéilíng refinementofmomentumstrategytheempiricalstudyoftaiwanstockexchangemarket |
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