Volume 13, Number 2, December 2018
| Can Liquidity and Investor Sentiment Factors Help Momentum Profits? |
Chia-Hsien Tang¹*, Yun-Chun Huang², Shein-Yung Cheng³, Yen-Hsien Lee 4**
Abstract
This study explores the impact of market liquidity and investor sentiment (VIX index) on momentum strategy returns. Our empirical result has shown that liquidity has a significant positive impact on the momentum strategy returns. In addition, the momentum strategy returns will also have negatively affected by VIX index, so the bigger of VIX index is, the smaller of momentum strategy returns become. Finally, when the market conditions are different, the momentum strategy is still be affected by liquidity and investor sentiment.
Keywords: The U.S. stock market, Momentum strategy, Liquidity, VIX Index.
JEL Classification: D53, D80, G41
¹ International Business Department, Accounting, Fuzhou Melbourne Polytechnic, China * E-mail: richtang626@qq.com
² Department of Finance, Chung Yuan Christian University, Taiwan
³ Department of Information and Computer Engineering, Chung Yuan Christian University, Taiwan
4 (Corresponding author) Department of Finance, Chung Yuan Christian University, Taiwan **
E-mail: yh@cycu.edu.tw