Momentum Strategies Comparison in Taiwan

Momentum Strategies Comparison in Taiwan

蔡詠裕(Yung-Yu Tsai)

指導教授 ： 邱顯比

國立臺灣大學/管理學院/財務金融學研究所/碩士(2005年)

https://doi.org/10.6342/NTU.2005.00151

摘要

無資料

關鍵字

動量策略 ； 投資策略

並列摘要

Abstract
The purpose of this study is to examine and confirm the best strategies in the Taiwan Stock Market by comparing six different momentum strategies proposed by Jagadeesh and Titman (1993), Moskowitz and Grinblatt (1999), George and Hwang (2004) and another unique strategy in this study, GH Revised 52-week strategy.
Compared with these six momentum strategies, we get some findings that GH Revised 52-week High and Low strategies could earn the most profits no matter January is included or excluded in the period of 1989 to 2003 in Taiwan Securities Exchange. Alternatively, GH Revised 52-week High and Low strategies are the best short-term investment strategies. But in long-term investment, using MG and GH Revised 52-week Low strategies are superior to sustain the profitability.

並列關鍵字

Momentum Strategy ； Investment strategy

參考文獻

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