The Empirical of Investment Performance of Taiwan Over-the- Counter Market

• Main Authors: Lin, Wang-sang, 林旺生
• Other Authors: Fujiing Shiue
• Format: Others
• Language: zh-TW
• Published: 1997
• Online Access: http://ndltd.ncl.edu.tw/handle/94241143663328298482

碩士 === 文化大學 === 會計研究所 === 85 === The purposes of the paper emphasize on exploring the vailidity oftechnical index in the over-the-counter market in Taiwan. and examinethe efficiency of the market further. we compare five technical indexes as following:RSI.DMI.MACD.%R.KD with buy-and- hold strategyunder considering stock dividends,cash dividends and transaction costconditions.The paper includes two parts. First, we choose corporateswhich have listed in the over-the- counter market above one year asthe sample, and then compare the investment performance of technicalindex with that of buy-and- hold strategy. In the second part, we dividethe selected sample into two groups,one is choosen according funda-mental principle, the rest is the other group. we conduct simulationanalysis to compare the performance of both group samples.The paper has two conclusions: first, the performance of buy-and-holdstrategy is better than that of technical index over the reserch period. Therfore, we accept the hypothsis that the over-the-counter market inTaiwan accords with weak-efficiency. However, if we only consider the perfomance of technical index, after considering investment risk, theDMI is better than any other index. The second conclusion addresses:no matter using the technical index or buy-and-hold strategy theperformance of the group which is choosen by fundamental principle isbetter than the other group over the reserch period, and under funda-mental selected group if we consider the investment risk, the performanceof MACD is the best, but under the other group, the performance of DMI is the best.