政大機構典藏-National Chengchi University Institutional Repository(NCCUR):Item 140.119/63942

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政大機構典藏 > 商學院 > 會計學系 > 期刊論文 > Item 140.119/63942

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Title:	Culture Difference and Return of Momentum Strategy: From Chinese Culture (2/2)
Other Titles:	文化差異與動能投資報酬：由中國文化談起(第2 年)
Authors:	李怡宗
Contributors:	會計系
Keywords:	動能交易;心理因素;文化差異 momentum effects;cultural differences;Taiwan
Date:	2008.10
Issue Date:	2014-02-18 14:56:36 (UTC+8)
Abstract:	Recent research documents the existence of momentum effects in stock returns in most of the Western countries. Recently, Hvidkjaer（2006）provides the first/only evidence that momentum effects are partly from the slowly underreaction of small traders to past returns, using transaction data. In contrast, there is no evidence that large traders react to past returns. A unique dataset from the Taiwan stock exchange allows us to address the momentum behaviors, by examining the order flow data for types of investors directly. Contrary to Hvidkjaer (2006), our paper document momentum behaviors for both institutional and individual orders from foreign investors. Domestic investors (including institutions and individuals, big and small traders) do not tend to sluggish reaction to past returns, and they do have significant impact on moving prices in the same direction. Interestingly, foreign investors tend to react to past returns significantly, while domestic investors only show slightly reaction on past return. Besides, small domestic individuals tend to be more contrarian than big domestic individuals. Therefore, it is still a puzzle about the rationales that may explain momentums.
Relation:	國科會計畫編號： NSC 95-2416-H-004-026-MY2
Data Type:	article
Appears in Collections:	[會計學系] 期刊論文

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95-2416-H-004-026-MY2.pdf		358Kb	Adobe PDF2	505	View/Open

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