{"id":"https://openalex.org/W2900105481","doi":"https://doi.org/10.1142/s0219622019500056","title":"Empirical Evaluations on Momentum Effects of Taiwan Index Futures via Stop-Loss and Stop-Profit Mechanisms","display_name":"Empirical Evaluations on Momentum Effects of Taiwan Index Futures via Stop-Loss and Stop-Profit Mechanisms","publication_year":2018,"publication_date":"2018-11-08","ids":{"openalex":"https://openalex.org/W2900105481","doi":"https://doi.org/10.1142/s0219622019500056","mag":"2900105481"},"language":"en","primary_location":{"id":"doi:10.1142/s0219622019500056","is_oa":false,"landing_page_url":"https://doi.org/10.1142/s0219622019500056","pdf_url":null,"source":{"id":"https://openalex.org/S207089700","display_name":"International Journal of Information Technology & Decision Making","issn_l":"0219-6220","issn":["0219-6220","1793-6845"],"is_oa":false,"is_in_doaj":false,"is_core":true,"host_organization":"https://openalex.org/P4310319815","host_organization_name":"World Scientific","host_organization_lineage":["https://openalex.org/P4310319815"],"host_organization_lineage_names":["World Scientific"],"type":"journal"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"International Journal of Information Technology & Decision Making","raw_type":"journal-article"},"type":"article","indexed_in":["crossref"],"open_access":{"is_oa":false,"oa_status":"closed","oa_url":null,"any_repository_has_fulltext":false},"authorships":[{"author_position":"first","author":{"id":"https://openalex.org/A5088155157","display_name":"Mu\u2010En Wu","orcid":"https://orcid.org/0000-0002-4839-3849"},"institutions":[{"id":"https://openalex.org/I118292597","display_name":"National Taipei University of Technology","ror":"https://ror.org/00cn92c09","country_code":"TW","type":"education","lineage":["https://openalex.org/I118292597"]}],"countries":["TW"],"is_corresponding":true,"raw_author_name":"Mu-En Wu","raw_affiliation_strings":["Department of Information and Finance Management, National Taipei University of Technology, Taiwan"],"raw_orcid":"https://orcid.org/0000-0002-4839-3849","affiliations":[{"raw_affiliation_string":"Department of Information and Finance Management, National Taipei University of Technology, Taiwan","institution_ids":["https://openalex.org/I118292597"]}]},{"author_position":"last","author":{"id":"https://openalex.org/A5035844880","display_name":"Wei\u2010Ho Chung","orcid":"https://orcid.org/0000-0002-3041-7398"},"institutions":[{"id":"https://openalex.org/I25846049","display_name":"National Tsing Hua University","ror":"https://ror.org/00zdnkx70","country_code":"TW","type":"education","lineage":["https://openalex.org/I25846049"]}],"countries":["TW"],"is_corresponding":false,"raw_author_name":"Wei-Ho Chung","raw_affiliation_strings":["Department of Electrical Engineering, National Tsing Hua University, HsinChu, Taiwan"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"Department of Electrical Engineering, National Tsing Hua University, HsinChu, Taiwan","institution_ids":["https://openalex.org/I25846049"]}]}],"institutions":[],"countries_distinct_count":1,"institutions_distinct_count":2,"corresponding_author_ids":["https://openalex.org/A5088155157"],"corresponding_institution_ids":["https://openalex.org/I118292597"],"apc_list":null,"apc_paid":null,"fwci":2.1827,"has_fulltext":false,"cited_by_count":7,"citation_normalized_percentile":{"value":0.88466824,"is_in_top_1_percent":false,"is_in_top_10_percent":false},"cited_by_percentile_year":{"min":90,"max":97},"biblio":{"volume":"18","issue":"02","first_page":"629","last_page":"648"},"is_retracted":false,"is_paratext":false,"is_xpac":false,"primary_topic":{"id":"https://openalex.org/T10047","display_name":"Financial Markets and Investment Strategies","score":0.9998999834060669,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},"topics":[{"id":"https://openalex.org/T10047","display_name":"Financial Markets and Investment Strategies","score":0.9998999834060669,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T11326","display_name":"Stock Market Forecasting Methods","score":0.9995999932289124,"subfield":{"id":"https://openalex.org/subfields/1803","display_name":"Management Science and Operations Research"},"field":{"id":"https://openalex.org/fields/18","display_name":"Decision Sciences"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T11270","display_name":"Complex Systems and Time Series Analysis","score":0.9977999925613403,"subfield":{"id":"https://openalex.org/subfields/2002","display_name":"Economics and Econometrics"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}}],"keywords":[{"id":"https://openalex.org/keywords/futures-contract","display_name":"Futures contract","score":0.6436055898666382},{"id":"https://openalex.org/keywords/trading-strategy","display_name":"Trading strategy","score":0.5768527388572693},{"id":"https://openalex.org/keywords/economics","display_name":"Economics","score":0.5225538611412048},{"id":"https://openalex.org/keywords/financial-economics","display_name":"Financial economics","score":0.4935694932937622},{"id":"https://openalex.org/keywords/profit","display_name":"Profit (economics)","score":0.4505208730697632},{"id":"https://openalex.org/keywords/market-capitalization","display_name":"Market capitalization","score":0.4464713931083679},{"id":"https://openalex.org/keywords/momentum","display_name":"Momentum (technical analysis)","score":0.438639372587204},{"id":"https://openalex.org/keywords/stock-exchange","display_name":"Stock exchange","score":0.424209326505661},{"id":"https://openalex.org/keywords/stock-market","display_name":"Stock market","score":0.42114654183387756},{"id":"https://openalex.org/keywords/business","display_name":"Business","score":0.39940598607063293},{"id":"https://openalex.org/keywords/econometrics","display_name":"Econometrics","score":0.3500077724456787},{"id":"https://openalex.org/keywords/finance","display_name":"Finance","score":0.24957531690597534},{"id":"https://openalex.org/keywords/microeconomics","display_name":"Microeconomics","score":0.24723908305168152}],"concepts":[{"id":"https://openalex.org/C106306483","wikidata":"https://www.wikidata.org/wiki/Q183984","display_name":"Futures contract","level":2,"score":0.6436055898666382},{"id":"https://openalex.org/C131562839","wikidata":"https://www.wikidata.org/wiki/Q1574928","display_name":"Trading strategy","level":2,"score":0.5768527388572693},{"id":"https://openalex.org/C162324750","wikidata":"https://www.wikidata.org/wiki/Q8134","display_name":"Economics","level":0,"score":0.5225538611412048},{"id":"https://openalex.org/C106159729","wikidata":"https://www.wikidata.org/wiki/Q2294553","display_name":"Financial economics","level":1,"score":0.4935694932937622},{"id":"https://openalex.org/C181622380","wikidata":"https://www.wikidata.org/wiki/Q26911","display_name":"Profit (economics)","level":2,"score":0.4505208730697632},{"id":"https://openalex.org/C193445137","wikidata":"https://www.wikidata.org/wiki/Q471719","display_name":"Market capitalization","level":4,"score":0.4464713931083679},{"id":"https://openalex.org/C60718061","wikidata":"https://www.wikidata.org/wiki/Q1414747","display_name":"Momentum (technical analysis)","level":2,"score":0.438639372587204},{"id":"https://openalex.org/C200870193","wikidata":"https://www.wikidata.org/wiki/Q11691","display_name":"Stock exchange","level":2,"score":0.424209326505661},{"id":"https://openalex.org/C2780299701","wikidata":"https://www.wikidata.org/wiki/Q475000","display_name":"Stock market","level":3,"score":0.42114654183387756},{"id":"https://openalex.org/C144133560","wikidata":"https://www.wikidata.org/wiki/Q4830453","display_name":"Business","level":0,"score":0.39940598607063293},{"id":"https://openalex.org/C149782125","wikidata":"https://www.wikidata.org/wiki/Q160039","display_name":"Econometrics","level":1,"score":0.3500077724456787},{"id":"https://openalex.org/C10138342","wikidata":"https://www.wikidata.org/wiki/Q43015","display_name":"Finance","level":1,"score":0.24957531690597534},{"id":"https://openalex.org/C175444787","wikidata":"https://www.wikidata.org/wiki/Q39072","display_name":"Microeconomics","level":1,"score":0.24723908305168152},{"id":"https://openalex.org/C2780762169","wikidata":"https://www.wikidata.org/wiki/Q5905368","display_name":"Horse","level":2,"score":0.0},{"id":"https://openalex.org/C151730666","wikidata":"https://www.wikidata.org/wiki/Q7205","display_name":"Paleontology","level":1,"score":0.0},{"id":"https://openalex.org/C86803240","wikidata":"https://www.wikidata.org/wiki/Q420","display_name":"Biology","level":0,"score":0.0}],"mesh":[],"locations_count":2,"locations":[{"id":"doi:10.1142/s0219622019500056","is_oa":false,"landing_page_url":"https://doi.org/10.1142/s0219622019500056","pdf_url":null,"source":{"id":"https://openalex.org/S207089700","display_name":"International Journal of Information Technology & Decision Making","issn_l":"0219-6220","issn":["0219-6220","1793-6845"],"is_oa":false,"is_in_doaj":false,"is_core":true,"host_organization":"https://openalex.org/P4310319815","host_organization_name":"World Scientific","host_organization_lineage":["https://openalex.org/P4310319815"],"host_organization_lineage_names":["World Scientific"],"type":"journal"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"International Journal of Information Technology & Decision Making","raw_type":"journal-article"},{"id":"pmh:oai:RePEc:wsi:ijitdm:v:18:y:2019:i:02:n:s0219622019500056","is_oa":false,"landing_page_url":"http://www.worldscientific.com/doi/abs/10.1142/S0219622019500056","pdf_url":null,"source":{"id":"https://openalex.org/S4306401271","display_name":"RePEc: Research Papers in Economics","issn_l":null,"issn":null,"is_oa":false,"is_in_doaj":false,"is_core":false,"host_organization":"https://openalex.org/I77793887","host_organization_name":"Federal Reserve Bank of St. Louis","host_organization_lineage":["https://openalex.org/I77793887"],"host_organization_lineage_names":[],"type":"repository"},"license":null,"license_id":null,"version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":null,"raw_type":"article"}],"best_oa_location":null,"sustainable_development_goals":[{"display_name":"Partnerships for the goals","id":"https://metadata.un.org/sdg/17","score":0.5199999809265137}],"awards":[{"id":"https://openalex.org/G1554341612","display_name":null,"funder_award_id":"MOST 106-2221-E-027-145","funder_id":"https://openalex.org/F4320322795","funder_display_name":"Ministry of Science and Technology, Taiwan"},{"id":"https://openalex.org/G2748259050","display_name":null,"funder_award_id":"MOST 107-2221-E-027 -104 -MY2","funder_id":"https://openalex.org/F4320322795","funder_display_name":"Ministry of Science and Technology, Taiwan"}],"funders":[{"id":"https://openalex.org/F4320322795","display_name":"Ministry of Science and Technology, Taiwan","ror":"https://ror.org/02kv4zf79"}],"has_content":{"grobid_xml":false,"pdf":false},"content_urls":null,"referenced_works_count":31,"referenced_works":["https://openalex.org/W348334406","https://openalex.org/W1983301615","https://openalex.org/W1986187360","https://openalex.org/W2026592333","https://openalex.org/W2035983439","https://openalex.org/W2056162038","https://openalex.org/W2063986268","https://openalex.org/W2093085360","https://openalex.org/W2104964789","https://openalex.org/W2125520394","https://openalex.org/W2128633294","https://openalex.org/W2134658143","https://openalex.org/W2282741897","https://openalex.org/W2406047486","https://openalex.org/W2421216891","https://openalex.org/W2509518867","https://openalex.org/W2510060937","https://openalex.org/W2561105225","https://openalex.org/W2595933927","https://openalex.org/W2605864309","https://openalex.org/W2741700179","https://openalex.org/W2746054510","https://openalex.org/W2765926538","https://openalex.org/W2793889932","https://openalex.org/W2801041858","https://openalex.org/W3121591305","https://openalex.org/W3123181790","https://openalex.org/W3125261530","https://openalex.org/W3126066224","https://openalex.org/W4206422821","https://openalex.org/W4231546411"],"related_works":["https://openalex.org/W645856784","https://openalex.org/W2112575509","https://openalex.org/W2912911511","https://openalex.org/W4246862085","https://openalex.org/W3033849955","https://openalex.org/W1513396356","https://openalex.org/W2270290601","https://openalex.org/W140294947","https://openalex.org/W3108618175","https://openalex.org/W3121800461"],"abstract_inverted_index":{"The":[0,155],"Efficient-Market":[1],"Hypothesis":[2],"(EMH)":[3],"is":[4,21,34,57,146],"one":[5,58],"of":[6,59,78,127,142,151,168],"the":[7,24,48,54,60,72,84,96,109,124,140,149,152,166,183],"important":[8],"theories":[9],"in":[10,47,118,148,164],"financial":[11,49],"markets.":[12],"Under":[13],"this":[14,69],"hypothesis,":[15],"developing":[16],"a":[17],"robust":[18],"profitable":[19],"strategy":[20,176],"infeasible":[22],"because":[23],"market":[25,116,131],"price":[26],"fluctuates":[27],"immediately":[28],"following":[29],"any":[30],"new":[31],"information":[32],"and":[33,53,135,144],"thus":[35],"unpredictable.":[36],"However,":[37],"many":[38,161],"empirical":[39],"studies":[40],"have":[41],"shown":[42],"that":[43,113],"certain":[44],"trading":[45,153,162],"strategies":[46,62,111],"markets":[50],"are":[51],"profitable,":[52],"Momentum":[55],"Strategy":[56],"major":[61],"among":[63,108],"them.":[64],"With":[65],"four":[66,110],"momentum":[67,125],"strategies,":[68],"paper":[70],"uses":[71],"real-world":[73],"data":[74,77],"points":[75],"(intra-day":[76],"one-minute":[79],"time":[80],"frame)":[81],"for":[82,175],"back-testing":[83],"Taiwan":[85,119,128],"Stock":[86,90],"Exchange":[87],"Capitalization":[88],"Weighted":[89],"Index":[91,129],"Futures":[92,130],"(TAIEX":[93],"Futures)":[94],"during":[95],"period":[97],"from":[98],"January":[99],"04,":[100],"2010":[101],"to":[102,160],"March":[103],"25,":[104],"2015.":[105],"Numerical":[106],"comparisons":[107],"reveal":[112],"there":[114],"exist":[115],"inefficiencies":[117],"stock":[120],"market.":[121],"We":[122],"verified":[123],"effect":[126],"through":[132],"different":[133],"stop-loss":[134,143],"stop-profit":[136,145],"mechanisms.":[137,185],"In":[138],"conclusion,":[139],"management":[141,171],"crucial":[147],"profit/loss":[150],"strategy.":[154],"technique":[156],"can":[157],"be":[158],"applied":[159],"methodologies":[163],"improving":[165],"quality":[167],"strategies.":[169],"Money":[170],"provides":[172],"another":[173],"path":[174],"planning":[177],"other":[178],"than":[179],"purely":[180],"focusing":[181],"on":[182],"technical":[184]},"counts_by_year":[{"year":2021,"cited_by_count":2},{"year":2020,"cited_by_count":4},{"year":2019,"cited_by_count":1}],"updated_date":"2025-11-06T03:46:38.306776","created_date":"2025-10-10T00:00:00"}