| The research indicates that Taiwan stock market in short-term would contain price momentum and sentiment momentum during 2001-2010. As for the long term, it would contain price contrarian effect. Furthermore, through the combination of good, bad news, price momentum, and sentiment momentum, it shows that short days accumulation of news have great effects on the short-term price momentum and the effects are more significant or reversed. However, the long-term price contrarian momentum shows negative correlation. It is extent of fluctuation would change with the collocation of good, bad news. In contrast, short-term sentiment momentum shows positive correlation and the result shows positive effect. Long-term sentiment momentum will also be influenced by the accumulation of news. The analysis of the result shows that it would be significant. And these positive and negative significances need to follow with different combination of investment portfolios. |
Updated 03/19/2014