A study on the relationship between turnover rate and return in Taiwan stock market

This paper studies the relationship between turnover rate and return in Taiwan stock market. First, we analyze the relationship using data from 1987 to 2003. Second, we further establish a portfolio based on high turnover rate using data from 2004 to 2008 and use the Jensen`s α to measure the performance of the portfolio. We find when the turnover rate of market is high, the stock return usually reverse in the following periods.