Momentum Strategies Comparison in Taiwan

Abstract

Abstract The purpose of this study is to examine and confirm the best strategies in the Taiwan Stock Market by comparing six different momentum strategies proposed by Jagadeesh and Titman (1993), Moskowitz and Grinblatt (1999), George and Hwang (2004) and another unique strategy in this study, GH Revised 52-week strategy. Compared with these six momentum strategies, we get some findings that GH Revised 52-week High and Low strategies could earn the most profits no matter January is included or excluded in the period of 1989 to 2003 in Taiwan Securities Exchange. Alternatively, GH Revised 52-week High and Low strategies are the best short-term investment strategies. But in long-term investment, using MG and GH Revised 52-week Low strategies are superior to sustain the profitability.