Does the momentum gap explain momentum in Taiwan?

Chaonan Lin, Kuan-Cheng Ko and Nien-Tzu Yang

Pacific-Basin Finance Journal, 2022, vol. 72, issue C

Abstract: Huang (2021) proposes the momentum gap, which is the difference in the formation-period returns between past winners and losers, as a strong predictor of momentum returns. This study extends Huang's (2021) analyses to the Taiwan stock market by proposing that the composition of market participants and the imposition of price limits in this market have opposite impacts on the momentum gap. Our results indicate that the momentum gap fails to predict momentum returns in Taiwan, a phenomenon that is in line with our conjecture that the imposition of price limits mitigates the effectiveness of the momentum gap.

Keywords: Momentum gap; Momentum return predictability; Taiwan stock market (search for similar items in EconPapers)
JEL-codes: G11 G12 G14 (search for similar items in EconPapers)
Date: 2022
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (2)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:pacfin:v:72:y:2022:i:c:s0927538x22000270

DOI: 10.1016/j.pacfin.2022.101732

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