Momentum in Taiwan: seasonality matters!

Hsiao-Peng Fu and Andrew Wood ()

Applied Economics Letters, 2010, vol. 17, issue 13, 1247-1253

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.

Date: 2010
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DOI: 10.1080/00036840902917589

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