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Momentum strategy and institutional investing in Taiwan stock market

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  • Ching-Ping Wang
  • Hung-Hsi Huang
  • Wei-Li Lin

Abstract

This study uses the sample with 539 individual stocks in Taiwan stock market from July 2002 to December 2007 for discussing and comparing the performances among these portfolios of institutional net buys/sells, Jegadeesh and Titman (JT) momentum strategy and George and Hwang (GH) momentum strategy. The empirical findings are as follows. First, this study examines short-term momentum with no waiting period; the findings indicate that the institutional portfolio is significantly more profitable than the others. Next, this study examines medium term momentum with 1-year waiting period; the results show institutional portfolio and JT strategies in strategy (6, ∼12, 6) begin appearing a reversal phenomenon. Although GH strategy earns positive return, the momentum phenomenon is not significant. Finally, this study examines long-term momentum with 2-year waiting periods; the results indicate GH momentum portfolio yields positive return significantly in strategy (6, ∼24, 12).

Suggested Citation

  • Ching-Ping Wang & Hung-Hsi Huang & Wei-Li Lin, 2010. "Momentum strategy and institutional investing in Taiwan stock market," Applied Financial Economics, Taylor & Francis Journals, vol. 20(21), pages 1651-1658.
    • Handle: RePEc:taf:apfiec:v:20:y:2010:i:21:p:1651-1658
    DOI: 10.1080/09603107.2010.522517
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    Cited by:

    1. Hung, Chi-Hsiou D. & Banerjee, Anurag N., 2014. "How do momentum strategies ‘score’ against individual investors in Taiwan, Hong Kong and Korea?," Emerging Markets Review, Elsevier, vol. 21(C), pages 67-81.
    2. Ashish Kumar Garg & Pankaj Varshney, 2015. "Momentum Effect in Indian Stock Market: A Sectoral Study," Global Business Review, International Management Institute, vol. 16(3), pages 494-510, June.

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