Why is there no momentum in the Taiwan stock market?

Ding Du, Zhaodan Huang, Bih shuang Liao

Research output: Contribution to journalArticlepeer-review

34 Scopus citations


Momentum strategies usually do not produce significant profits in emerging stock markets. Chui, Titman, and Wei [Chui, A. C. W., Titman, S., & Wei, K. C. J. (2000). Momentum, legal systems and ownership structure: An analysis of Asian stock markets. Working paper, Hong Kong Polytechnic University, Chui, A. C. W., Titman, S., & Wei, K. C. J. (2006). Individualism and momentum around the World. Working Paper, Hong Kong Polytechnic University] argue that the lack of profitability is due to cultural differences. In this paper, we look at one of the largest emerging markets, the Taiwan stock market. We find that DOWN markets occur more frequently and momentum profits are more negative following DOWN markets in Taiwan than in the US. Taken together, our findings suggest that the lack of profits from momentum strategies in emerging markets may be due more to the state-dependence of momentum discovered by Cooper, Gutierrez, and Hameed [Cooper, M. J., Gutierrez R. C., & Hameed, A. (2004). Market states and momentum. Journal of Finance, 59, 1345-1365] rather than to cultural differences.

Original languageEnglish (US)
Pages (from-to)140-152
Number of pages13
JournalJournal of Economics and Business
Issue number2
StatePublished - 2009


  • Emerging markets
  • Market states
  • Momentum

ASJC Scopus subject areas

  • General Business, Management and Accounting
  • Economics and Econometrics


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