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The Role of Industry Effect and Market States in Taiwanese Momentum

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  • Hsiao-Peng Fu

Abstract

A prior research detects significant seasonal Taiwanese momentum. In this follow-up analysis, I report the seasonal momentum can neither be interpreted by the industy effect suggested by Moskowitz and Grinblatt (1999), nor the market state effect proxy for either overreaction suggested by Daniel et al. (1998) or gradual dessenmination of informationby by Hong and Stein (1999). Note, however, that the industry effect does explain about 40% of the profitability of the Taiwaneses momentum.

Suggested Citation

  • Hsiao-Peng Fu, 2016. "The Role of Industry Effect and Market States in Taiwanese Momentum," International Journal of Financial Research, International Journal of Financial Research, Sciedu Press, vol. 7(2), pages 183-188, April.
    • Handle: RePEc:jfr:ijfr11:v:7:y:2016:i:2:p:183-188
    DOI: 10.5430/ijfr.v7n2p183
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