Market Dynamics and Momentum Investing in the Taiwan Stock Market

• Main Authors: Zhi-Xiang Feng, 馮稚翔
• Other Authors: Kuan-Chan Ko
• Format: Others
• Language: zh-TW
• Published: 2015
• Online Access: http://ndltd.ncl.edu.tw/handle/c7gh7t

碩士 === 國立暨南國際大學 === 財務金融學系 === 103 === Although recent studies indicate that market states are sensitive to momentum profits. Asem and Tian (2010) show that not only market states, but also the transition in market conditions would affect momentum profits. Therefore we investigate whether changes in market conditions influence momentum profits in the Taiwan stock market. We also take account of business cycle, market volatilities, market liquidity and investor sentiment to explain the effect of market dynamics. We find that even though we consider these variables the momentum profits are still sensitive to market dynamics. In addition our finding consistent with Daniel, Hirshleifer, and Subrahmanyam (1998), who suggest that investor overreaction is the reason cause momentum effect.