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The research of momentum trading strategies in Taiwan stock mocket

This thesis studies the momentum trading strategies, in which investors buy stocks that performed well in the past and sell stocks that underperformed over the same peiord of time. We examine the momentum strategies from January of 1995 to September of 2006. This thesis has two purposes. First, do the momentum trading strategies generate positive abnormal returns ? Second, do the momentum trading strategies generate positive abnormal returns even after we consider the limits of short-selling stocks ? The results indicate that the momentum trading strategies generate significant positive returns. Furthermore, the momentum trading strategies still offer positive abnormal returns even after the limits of short-selling shares are taken into account, although the magnitude of positive abnormal returns decreases.

Identiferoai:union.ndltd.org:NSYSU/oai:NSYSU:etd-0727107-095939
Date27 July 2007
CreatorsLin, Chiu-hui
ContributorsHenry Y. Lo, Y. Chris Liao, Kuo,Hsioujen
PublisherNSYSU
Source SetsNSYSU Electronic Thesis and Dissertation Archive
LanguageCholon
Detected LanguageEnglish
Typetext
Formatapplication/pdf
Sourcehttp://etd.lib.nsysu.edu.tw/ETD-db/ETD-search/view_etd?URN=etd-0727107-095939
Rightsrestricted, Copyright information available at source archive

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