Momentum in Taiwan: Seasonality matters!
Research output: Contribution to journal › Article › peer-review
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.
|Number of pages||7|
|Journal||Applied Economics Letters|
|Publication status||Published - 2010|