| Summary: | 碩士 === 淡江大學 === 財務金融學系碩士班 === 99 === This study refers to Jegadeesh and Titman (1993)’s price momentum strategy , Moskowitz and Grinblatt (1999)’s industry momentum strategy and George and Hwang (2004) 52-week high price momentum strategy.Use the common stock of the Taiwan Stock Exchange and the OTC for the study sample, study period from January 1997 to December 2010, for 168 months, using t test to verify that the profitability of the three momentum strategy; and test momentum performance existence seasonal and Spring Festivaleffects, and discussion the three momentum strategies will be different duting the study period, market and industry influence.
The empirical results show that three momentum strategy existence significant industry effect, and momentum performance existence significant seasonal and Spring Festival effects. But three momentum strategy during the Spring Festival and first quarter the average return are all negative, and non- Spring Festival existence significant high price momentum effect. Also this study found that the average return nearly 7years is better than first 7 years, the public listed companies is better than the OTC listed companies , and the electronics industry is better than non-electronic industry
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