Empirical Evaluations on Momentum Effects of Taiwan Index Futures Market

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.