Momentum in Taiwan: Seasonality matters!

Hsiao Peng Fu*, Andrew Wood

*Corresponding author for this work

Research output: Contribution to journalArticlepeer-review

Abstract

Previous studies suggest that momentum exists in international stock markets with the exception of Asia. Using a large data set of Taiwanese stocks, we show that momentum does exist, but it is restricted to the months following the deadline for annual statements. During the remaining months, a reverse momentum, or contrarian, strategy produces significant returns. These contrarian returns are particularly high during the national holidays linked to the Lunar New Year and the Lunar Moon Festival.

Original languageEnglish
Pages (from-to)1247-1253
Number of pages7
JournalApplied Economics Letters
Volume17
Issue number13
DOIs
Publication statusPublished - 2010

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