Advanced Search
MyIDEAS: Login to save this article or follow this journal

Unsystematic Risk Explanation to Momentum Profits in Taiwan

Contents:

Author Info

  • Ching-Ping Wang

    ()
    (Economics, and Business Decision, National Kaohsiung University of Applied Sciences, No. 415, Jiangong Rd., Sanmin District, Kaohsiung City 80778, Taiwan)

  • Hung-Hsi Huang

    ()
    (National Chiayi University, No. 580, Sinmin Rd., Chiayi City 91201, Taiwan)

  • Kai-Jei Tu

    ()
    (National Pingtung University of Science and Technology, No. 1, Hseuhfu Rd., Neipu, Pingtung 91201, Taiwan)

Registered author(s):

    Abstract

    This study investigates the momentum profits and provides a systematic risk as well as time-varying unsystematic risk explanation, adopting the monthly returns in the Taiwan stock market during 2003–2008 periods. Through the regression models including and combining the CAPM, Fama–French three factor model, GARCH(1,1)-M and TGARCH(1,1)-M, the main results are as follows. First, most of the momentum strategies have not significant positive returns. Next, CAPM as well as Fama and French factors could roughly explain momentum returns. Additionally, it may make some profits likely if the time-varying unsystematic risk is further considered in an investment strategy. Moreover, the return volatility for the portfolio of winners is more sensitive to recent news than the losers. Conversely, the return volatility of the loser is more sensitive to distant news and has a larger response to bad news than the winner. Finally, TGARCH-M related models usually perform better than GARCH-M ones; this infers the presence of leverage effect in Taiwan stock market.

    Download Info

    If you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
    File URL: http://www.worldscinet.com/cgi-bin/details.cgi?type=pdf&id=pii:S0219091511500056
    Download Restriction: Access to full text is restricted to subscribers.

    File URL: http://www.worldscinet.com/cgi-bin/details.cgi?type=html&id=pii:S0219091511500056
    Download Restriction: Access to full text is restricted to subscribers.

    As the access to this document is restricted, you may want to look for a different version under "Related research" (further below) or search for a different version of it.

    Bibliographic Info

    Article provided by World Scientific Publishing Co. Pte. Ltd. in its journal Review of Pacific Basin Financial Markets and Policies.

    Volume (Year): 15 (2012)
    Issue (Month): 01 ()
    Pages: 1250006-1-1250006-29

    as in new window
    Handle: RePEc:wsi:rpbfmp:v:15:y:2012:i:01:p:1250006-1-1250006-29

    Contact details of provider:
    Web page: http://www.worldscinet.com/rpbfmp/rpbfmp.shtml

    Order Information:
    Email:

    Related research

    Keywords: Momentum strategy; unsystematic risk; TGARCH;

    Find related papers by JEL classification:

    References

    No references listed on IDEAS
    You can help add them by filling out this form.

    Citations

    Lists

    This item is not listed on Wikipedia, on a reading list or among the top items on IDEAS.

    Statistics

    Access and download statistics

    Corrections

    When requesting a correction, please mention this item's handle: RePEc:wsi:rpbfmp:v:15:y:2012:i:01:p:1250006-1-1250006-29. See general information about how to correct material in RePEc.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Tai Tone Lim).

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If references are entirely missing, you can add them using this form.

    If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.