Momentum in Taiwan: Seasonality matters!

Hsiao Peng Fu; Andrew Wood

doi:10.1080/00036840902917589

Momentum in Taiwan: Seasonality matters!

Hsiao Peng Fu^*, Andrew Wood

^*Corresponding author for this work

Research output: Contribution to journal › Article › peer-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 language	English
Pages (from-to)	1247-1253
Number of pages	7
Journal	Applied Economics Letters
Volume	17
Issue number	13
DOIs	https://doi.org/10.1080/00036840902917589
Publication status	Published - 2010

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10.1080/00036840902917589

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title = "Momentum in Taiwan: Seasonality matters!",

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.",

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AB - 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.

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Momentum in Taiwan: Seasonality matters!

Abstract

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