A1198
Title: Partial moment momentum and contrarian strategy in the Taiwan stock market
Authors: Po-Keng Cheng - National Taipei University (Taiwan) [presenting]
Yu-Ting Chang - National Taipei University (Taiwan)
Ping-Chen Tsai - National Sun Yat-sen University (Taiwan)
Abstract: Volatility-adjusted momentum and contrarian strategies in the Taiwan stock market are examined using the partial moment momentum (PMM) framework. Using data from 1999-2024, traditional momentum strategies are shown to be weak and highly exposed to downside risk, while PMM significantly improves risk-adjusted performance and reduces drawdowns, especially in bear markets. Applying the same adjustment to contrarian strategies does not enhance returns, indicating that partial-moment scaling is effective for momentum but not reversals.
