| Summary: | 碩士 === 國立雲林科技大學 === 財務金融系碩士班 === 94 === More recent papers investigate about momentum strategies, contrarian strategies, and the factors that make these strategies generate significant abnormal returns main focus on the U.S. stock market. The trading rule that can generate abnormal returns in the U.S. stock market doesn’t mean it can get abnormal returns in the Taiwan stock market, since the Taiwan stock market’s structure is unlike the U.S. stock market. This study main investigate momentum and reversal trends in the Taiwan stock market, as well as the relationship between the investor sentiment indicators and the momentum and reversal trends of the stock market are interrelated. This data covers the period from January 01, 2000 to December 31, 2004. There are three variables to measure investor sentiment: the change of volume, the change in buying on margin, and the change in securities borrowing.
The results indicate there are short-term momentums as well as middle-term reversals in the Taiwan stock market. The three investor sentiment indicators show that short-term momentums profits come from pessimistic sentiment indicators, and to pessimistic sentiment indicators take contrarian strategies will be realize abnormal returns at the investor sentiment and momentum in Taiwan stock market. In addition, regardless of short-run or middle-run, the loser, winner and momentum profits will be negative in holding periods when the investor sentiment indicators is optimistic. This paper finally discovers the important role of both 1-day lag between the portfolio formation period and holding period and seasonal effect played on the short-term momentums and middle-term reversals.
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