The Most Comprehensive Taiwan Market Data Analysis for Investors

Empirical Study on Behavioral Factors in the Taiwan Stock Market: An Analysis of Broker Branch Trading Factors (Part 2)

In the previous study, we verified the fundamental chip-analysis principle of "institutional/major players going momentum, retail investors going contrarian" in the Taiwan stock market, and identified the "Major Player Net Buying Strength (by Amount)" factor, which exhibited the highest winning rate and most stable performance. In this second part, we conduct backtests to evaluate the actual profitability of this major player factor across different holding periods, while analyzing how transaction fees and turnover rates impact final trading performance.

Empirical Study on Behavioral Factors in the Taiwan Stock Market: An Analysis of Broker Branch Trading Factors (Part 1)

The Taiwan stock market is renowned for its high retail investor participation and exceptional market transparency. Every day after the market close, the Taiwan Stock Exchange (TWSE) and the Taipei Exchange (TPEx) publish detailed  Broker Branch Trading Database. This dataset itemizes the exact buy and sell volume and transaction values executed by every brokerage branch across all listed equities. Compared with centralized depository shareholder distribution reports published weekly, brokerage branch data offers daily frequency, clear identification of market entities, and trade directionality. These features make it the premier tool for investors analyzing market participant positioning. However, many investors who trade based on branch flow fall into the trap of buying at market tops. Behavioral finance demonstrates that information asymmetries and psychological biases directly manifest in trading behaviors. On one hand, institutional investors and large accounts with genuine information advantages (smart money) execute sizable, concentrated orders, driving subsequent price momentum. On the other hand, when a stock gains widespread retail attention, excessive retail buying often drives crowd sentiment and asset congestion, causing prices to temporarily detach from fundamental value before undergoing mean reversion.

What are Quantitative Funds: How Quant Funds Work, Benefits & More

Learn all about quantitative funds, how their models select investments, common strategies, main benefits and risks, and how they compare with traditional funds.

10+ Most Common Hedge Fund Investing Strategies: Full Guide

Learn hedge fund investment strategies, including long-short equity, credit, arbitrage, and managed futures, plus their benefits and risks for investors.

Fundamental Factor Research: Monthly Revenue Information – part2

Based on preceding results, SURPS3MTA demonstrates clear return monotonicity and significant long-short portfolio Alpha. REVOPY possesses strong ranking predictive power distributed across the full cross-section. This study evaluates 7 backtesting strategies utilizing these two factors plus MOM52WH to test real-world execution feasibility and multi-factor fusion value.

Fundamental Factor Research: Monthly Revenue Information – part1

The Taiwan equity market possesses a rare institutional advantage globally: under the Securities and Exchange Act, listed companies are required to announce and report their operational results for the preceding month by the 10th of each month (Exception: starting from FY2026, insurance companies and entities with insurance subsidiaries may extend their disclosure deadline to the 15th of each month). This is commonly referred to in the market as "Monthly Revenue".