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Momentum and Contrarian Profits Corresponding to the Coincident Economic Indicator on the Taiwan Stock Market

Author

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  • Ching-Ping Wang
  • Hung-Hsi Huang
  • Chi-Chung Huang

Abstract

This study investigates the momentum and contrarian profits corresponding to the coincident economic indicator on the Taiwan stock market. The empirical findings are as follows. First, neither momentum nor contrarian profits are statistically significant on average. Second, winners and losers have positive excess returns on average, adjusted by the capital assert pricing model (CAPM) and the Fama-French model. Third, the selected portfolio size plays an important role in portfolio returns. Fourth, winner and loser profits are positively related to the size factor in the Fama-French model. Finally, the coincident economic indicator is positively correlated with long-term momentum.

Suggested Citation

  • Ching-Ping Wang & Hung-Hsi Huang & Chi-Chung Huang, 2012. "Momentum and Contrarian Profits Corresponding to the Coincident Economic Indicator on the Taiwan Stock Market," Emerging Markets Finance and Trade, Taylor & Francis Journals, vol. 48(0), pages 29-40, January.
    • Handle: RePEc:mes:emfitr:v:48:y:2012:i:0:p:29-40
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    Cited by:

    1. Mehdi Zolfaghari & Bahram Sahabi, 2021. "The impact of oil price and exchange rate on momentum strategy profits in stock market: evidence from oil-rich developing countries," Review of Managerial Science, Springer, vol. 15(7), pages 1981-2023, October.
    2. Ferikawita M. Sembiring, 2018. "Three-Factor and Five-Factor Models: Implementation of Fama and French Model on Market Overreaction Conditions," GATR Journals jfbr150, Global Academy of Training and Research (GATR) Enterprise.

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