The application of the momentum strategy in Taiwan stock market

• Main Authors: Teng, Chiao-Chen, 鄧巧真
• Other Authors: William T. Lin
• Format: Others
• Language: zh-TW
• Published: 2006
• Online Access: http://ndltd.ncl.edu.tw/handle/39458803846734924808

碩士 === 輔仁大學 === 金融研究所 === 94 === This is a study on the construction of a short to medium term trading strategy for the stocks listed in the Taiwan Stock market mainly based on the methods of Jegadeesh & Timan(1993) and Lee & Swaminathan(2000).This study finds winner and loser by return and turnover rate to study the performance of the strategy and that after fixed cost. The result shows that when using short-term strategy, the portfolio based on the return trading strategy model can yield higher return and have lower volatility of investment performance relative to benchmark. The probability for the portfolios based on the turnover rate trading strategy model to have positive returns is around 50%, while not significant in the t-test. For the two-dimension momentum strategy, the portfolios yield positive return only in the short term when fixed in lower turnover rate. When fixed in higher turnover rate, mostly it can yield positive returns, but not really evident with the t-test. The turnover rate strategy produces positive returns whether fixed in the loser or the winner, but it’s not really evident with the t-test as well. The study of life cycle momentum shows that the performance of early stage strategy is better than late stage strategy in the Taiwan stock market. Lastly, the study shows that cost of trade e.g. both the tax and the brokerage fees has a significant negative impact on the return of the portfolio.