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Does the momentum gap explain momentum in Taiwan?

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

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.

Suggested Citation

  • Lin, Chaonan & Ko, Kuan-Cheng & Yang, Nien-Tzu, 2022. "Does the momentum gap explain momentum in Taiwan?," Pacific-Basin Finance Journal, Elsevier, vol. 72(C).
    • Handle: RePEc:eee:pacfin:v:72:y:2022:i:c:s0927538x22000270
    DOI: 10.1016/j.pacfin.2022.101732
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    References listed on IDEAS

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    Cited by:

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    2. Bui, Dien Giau & Kong, De-Rong & Lin, Chih-Yung & Lin, Tse-Chun, 2023. "Momentum in machine learning: Evidence from the Taiwan stock market," Pacific-Basin Finance Journal, Elsevier, vol. 82(C).

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    More about this item

    Keywords

    Momentum gap; Momentum return predictability; Taiwan stock market;
    All these keywords.

    JEL classification:

    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading

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