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2015 Third International Conference on Robot, Vision and Signal Processing (RVSP) (2015)
Kaohsiung, Taiwan
Nov. 18, 2015 to Nov. 20, 2015
ISSN: 2376-9807
ISBN: 978-1-4673-9646-2
pp: 82-85
ABSTRACT
The Efficient-Market Hypothesis (EMH) is one of the important theories in financial markets. Under this hypothesis, developing a robust profitable strategy is infeasible because the market price fluctuates immediately by the new information and is thus unpredictable. However, many empirical studies have shown that certain trading strategies in the financial markets are profitable, and the Momentum Strategy is one of the major strategies among them. With four momentum strategies, this paper uses the actual data points (intra-day data of one-minute time frame) for backtesting Taiwan index futures. Numerical comparisons among the four strategies reveal that there exist market inefficiencies in Taiwan stock market.
INDEX TERMS
Indexes, Stock markets, Profitability, Cities and towns, Electronic mail, Market research, Fluctuations
CITATION

C. Wang, M. Wu and W. Chung, "Empirical Evaluations on Momentum Effects of Taiwan Index Futures Market," 2015 Third International Conference on Robot, Vision and Signal Processing (RVSP), Kaohsiung, Taiwan, 2015, pp. 82-85.
doi:10.1109/RVSP.2015.29
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