This study investigates the momentum and contrarian profits corresponding to the coincident economic indicator on the Taiwan stock market. The empirical findings are as follows. First, neither momentum nor contrarian profits are statistically significant on average. Second, winners and losers...

This study examines both restricted and unrestricted Black-Sholes models, according to Longstaff (1995). Using the Taiwan index options for each day from January 2005 to December 2008, the unrestricted model simultaneously solves the implied index value and implied volatility whereas the...