Fu, H and Wood, A (2010) 'Momentum in Taiwan: seasonality matters!' Applied Economics Letters, 17 (13). pp. 1247-1253. ISSN 1350-4851
Full text not available from this repository.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 |
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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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