| Summary: | 碩士 === 逢甲大學 === 商學專業碩士在職學位學程 === 106 === There are many explanations for the cause of the Momentum Effect in the past literature, including the lack of investor response to market news or behavioral biases. The Momentum strategy indicates that buying stocks with high returns in the past and selling stocks with lower returns in the past can produce significant excess returns. Related studies have found that there may be significant Momentum Effect in the stock markets of the United States and Europe; however, studies on some emerging markets have found that Momentum Effect are not significant, some even have negative Momentum Effect (Overreact).
In the past, related studies mostly favored listed stocks or futures markets as research samples, which may eliminate stocks with poor performance or shutdown. However, there is no research on the momentum of ETFs. This study used data from January 2003 to December 2017 - Taiwan 50 stocks to analyze if Momentum Effect exists in the investment strategy of buying the top 10 winner stocks and selling bottom 10 loser stocks according to past returns under different period; and obtain positive returns. The results show that the Momentum Effect is not significant among Taiwan 50 stocks; while holing ETF directly could obtain relatively more returns instead. Therefore, this direction can be used as an operational strategy to obtain positive abnormal returns.
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