| Summary: | 碩士 === 國立雲林科技大學 === 財務金融系 === 106 === A lot of research in the past has found that funds have performance persistence, but they are not often used Momentum Strategy to investigate. Therefore, this study is based on the research framework of Jegadeesh and Titman (1993) and uses the monthly data of January 2012 to December 2017 as the research object for Open Equity Fund in Taiwan. Take advantage of the strategies which buy stocks that have performed well and sell stocks that have performed poorly to investigate whether Equity Funds in Taiwan have performance persistence. Further, arrange in order of the performance indicators distinguishing between winner funds and loser funds from high to low, and adopt the top and bottom of 5%, 10% and 20% to construct a portfolio in order to understand whether the selected percentage will make the result have the difference after arranging in order of the order of ROI from high to low.
The empirical results show that the portfolios containing Momentum Strategy can reach a maximum of 70% among the 25 kinds of portfolios. The results indicate that the Equity Funds in Taiwan have performance persistence. In addition, the percentage of selection after ROI ranking was no significant difference in the result.
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