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Momentum in Taiwan: Seasonality matters!

Fu, HP and Wood, A (2010) 'Momentum in Taiwan: Seasonality matters!' Applied Economics Letters, 17 (13). 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. © 2010 Taylor & Francis.

Item Type: Article
Subjects: H Social Sciences > HD Industries. Land use. Labor
Divisions: Faculty of Social Sciences > Essex Business School > Essex Finance Centre
Depositing User: Clare Chatfield
Date Deposited: 04 Apr 2014 08:50
Last Modified: 21 Jul 2018 00:15
URI: http://repository.essex.ac.uk/id/eprint/7256

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