Why is there no momentum in the Taiwan stock market?

Ding Du, Zhaodan Huang, Bih shuang Liao

Research output: Contribution to journalArticle

20 Citations (Scopus)

Abstract

Momentum strategies usually do not produce significant profits in emerging stock markets. Chui, Titman, and Wei [Chui, A. C. W., Titman, S., & Wei, K. C. J. (2000). Momentum, legal systems and ownership structure: An analysis of Asian stock markets. Working paper, Hong Kong Polytechnic University, Chui, A. C. W., Titman, S., & Wei, K. C. J. (2006). Individualism and momentum around the World. Working Paper, Hong Kong Polytechnic University] argue that the lack of profitability is due to cultural differences. In this paper, we look at one of the largest emerging markets, the Taiwan stock market. We find that DOWN markets occur more frequently and momentum profits are more negative following DOWN markets in Taiwan than in the US. Taken together, our findings suggest that the lack of profits from momentum strategies in emerging markets may be due more to the state-dependence of momentum discovered by Cooper, Gutierrez, and Hameed [Cooper, M. J., Gutierrez R. C., & Hameed, A. (2004). Market states and momentum. Journal of Finance, 59, 1345-1365] rather than to cultural differences.

Original languageEnglish (US)
Pages (from-to)140-152
Number of pages13
JournalJournal of Economics and Business
Volume61
Issue number2
DOIs
StatePublished - Mar 2009
Externally publishedYes

Fingerprint

Momentum
Taiwan stock market
Emerging markets
Cultural differences
Hong Kong
Momentum strategies
Profit
Profitability
Momentum profits
State dependence
System structure
Emerging stock markets
Market states
Legal system
Asian stock markets
Finance
Ownership structure
Taiwan
Individualism

Keywords

  • Emerging markets
  • Market states
  • Momentum

ASJC Scopus subject areas

  • Business, Management and Accounting(all)
  • Economics and Econometrics

Cite this

Why is there no momentum in the Taiwan stock market? / Du, Ding; Huang, Zhaodan; Liao, Bih shuang.

In: Journal of Economics and Business, Vol. 61, No. 2, 03.2009, p. 140-152.

Research output: Contribution to journalArticle

Du, Ding ; Huang, Zhaodan ; Liao, Bih shuang. / Why is there no momentum in the Taiwan stock market?. In: Journal of Economics and Business. 2009 ; Vol. 61, No. 2. pp. 140-152.
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