Momentum effect in Taiwan futures market

摘要：

Recent studies have indicated that investors who applied momentum strategies could get abnormal returns in the United States and other markets.This paper constructs a strategy to reveal the different momentums between finance and electronic sectors in Taiwan.The result shows that abnormal return exists in the momentum strategy in Taiwan Futures Exchange with Sharpe ratio 2.22 and annual rate of return 57％.

关键词： momentum effect futures market sector selection

作者: Alpha Lowe Vivian Li Menghui Ou

作者单位: Department of Finance Feng Chia University,Taichung,Taiwan

会议类型: 国际会议

会议名称: International Symposium on Financial Engineering and Risk Management(2008年金融工程与风险管理)

会议地点: 上海

会议语种:英文

页码: 56-57

在线出版日期: 2008-06-01（万方平台首次上网日期，不代表论文的发表时间）