The Role of Industry Effect and Market States in Taiwanese Momentum

Hsiao-Peng Fu

International Journal of Financial Research, 2016, vol. 7, issue 2, 183-188

Abstract: A prior research detects significant seasonal Taiwanese momentum. In this follow-up analysis, I report the seasonal momentum can neither be interpreted by the industy effect suggested by Moskowitz and Grinblatt (1999), nor the market state effect proxy for either overreaction suggested by Daniel et al. (1998) or gradual dessenmination of informationby by Hong and Stein (1999). Note, however, that the industry effect does explain about 40% of the profitability of the Taiwaneses momentum.

Keywords: price momentum; seasonality; emerging markets (search for similar items in EconPapers)
Date: 2016
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Persistent link: https://EconPapers.repec.org/RePEc:jfr:ijfr11:v:7:y:2016:i:2:p:183-188

DOI: 10.5430/ijfr.v7n2p183

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