Momentum Strategy in Taiwan Stock Market
Date Issued
2006
Date
2006
Author(s)
Chang, Shang-Yuan
DOI
zh-TW
Abstract
This paper uses the trading data which’s market value are top 100 in electronics industry and non-electronics industry fully quoted on TSEC from 1996 Jan. to 2005 Dec. Following Lee and Swaminathan (2000) in momentum life cyclehypothesis, choices turnover ratio and price return ratio to build investment portfolio. To find out which classification and holding period can get the better performance and sustains.
With MLC model, the feasible strategies are formed as follows: buying past winner with low turnover ratio and selling past loser with high turnover ratio at the early-stage (defined as early momentum strategy); buying past winner with high turnover ratio and selling past loser with low turnover ratio at the later-stage (defined as late momentum strategy).
The empirical evidence shows that simple momentum strategy is not necessarily profitable less than one year; however, the low turnover ratio winner outperforms the simple momentum strategy. Turnover ratio and past performance is helpful to determine the stock-investing portfolio. For intermediate and short period, the low turnover ratio portfolio outperforms high turnover ratio one. The main results are as follows: the early momentum strategy profits most regardless of time-span. Either early or late momentum strategy outperforms simple price-momentum strategy in short and intermediate term; however, the results will reverse in longer than one year.
Subjects
動量策略
價格動量
週轉率
產業分類
momentum strategy
price momentum
turnover ratio
industry classification
Type
thesis
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