Taiwan Stock Market that Uses Daily Data to Evaluate Momentum Investment Strategy Performance

• Main Authors: Chun-Chung Chen, 陳俊中
• Other Authors: William. T. Lin
• Format: Others
• Language: zh-TW
• Published: 2004
• Online Access: http://ndltd.ncl.edu.tw/handle/56280833740035098785

碩士 === 淡江大學 === 財務金融學系碩士班 === 94 === Financial academics and practitioners have long recognized that past price and volume may provide valuable information about a stock. But how price and volume information should be handled and interpreted is not clear. Therefore, using daily data from Taiwan Stock Exchange Corporation and listed on the R.O.C Over-The-Counter Securities Exchange from June. 30. 1980 to June. 30. 2005. This research wishes to evaluate the performance of various price and turnover trading strategies. Empirical results suggest that Taiwan stock market is not an efficient market. The results find that better performance of simple momentum strategy (winner minus loser) is in the extreme short-term. Specifically, we find better turnover investment strategy performance is buying stocks with relative low-turnover in the past, and at the same time, sells that with relative high-turnover in the past. The results also find turnover investment strategy performance that constituted on the basis of former returns of individual stock and momentum investment strategy performance that constituted on the basis of former turnover of individual stock. Turnover investment strategy performance has good performance in both winner and loser. In high-turnover stock, momentum investment strategy has better performance in extreme short-term and middle-term. In low-turnover stock, turnover investment strategy has better performance in extreme short-term. Finally, we can find that “early stage”momentum strategy outperforms “late stage” momentum strategy in Taiwan stock market. we suggest two potential explanations for abnormal profits of these strategies：Risk and Market Frictions. We find that risk and market friction are both not good reasons to explain the abnormal profits of these strategies.