| 摘要(英) |
This research mainly probe into Momentum strategy and industry momentum strategy, taking Taiwan’s stock market as an example. It was 1992 16 years altogether to 2007 when the materials contained, and this study will use different formation period(6 month,12 month)
and holding period to test two different investment strategy’s efficiency in Taiwan stock market. Otherwise, we will take short term formation and holding period into account to see the efficiency.
Empirical result indicate momentum strategy has statistically significant abnormal return in the short term(1 week,2week,4week),but not in the medium term and long term. But in the short term, it shows different result. Momentum strategy has significant abnormal return in the short term, we can make abnormal return in the short term(1 week,2week,4week).But when holding period become 8 weeks , momentum effect will disappear.
In addition, either short term or medium to long term industry momentum strategy has statistically significant abnormal return in Taiwan stock market, and it is more profitable to momentum strategy. After analyze the profit , we can find that the profit of industry momentum strategy is largely come from winner portfolio not loser portfolio. |
| 參考文獻 |
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