Fu, H and Wood, A (2010) 'Momentum in Taiwan: seasonality matters!' Applied Economics Letters, 17 (13). pp. 1247-1253. ISSN 1350-4851

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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.

Item Type:	Article
Subjects:	H Social Sciences > HD Industries. Land use. Labor
Divisions:	Faculty of Social Sciences Faculty of Social Sciences > Essex Business School Faculty of Social Sciences > Essex Business School > Essex Finance Centre
SWORD Depositor:	Elements
Depositing User:	Elements
Date Deposited:	04 Apr 2014 08:50
Last Modified:	06 Jan 2022 13:28
URI:	http://repository.essex.ac.uk/id/eprint/7256

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