| Summary: | 碩士 === 靜宜大學 === 企業管理學系 === 89 === This study examines the trading strategy of Taiwan’s mutual fund managers during the period of technical indicators signal. In contrast to previous studies of mutual fund trading strategy, the measure used in this study employs transaction quantities instead of portfolio weights. The empirical results show that, average of mutual fund managers systematically buy winners and sell losers based on the stock return behavior in the same month. Buying current winners is stronger during the period of technical indicators crosses above. Furthermore, we also find that in the period of monthly MACD cross above, fund managers buy winners in the same month has positive contribution to fund performance. Moreover, investors also engage in momentum strategy based on the fund returns in the same month, engage in contratian strategy based on the fund returns in the previous month. Finally, the results also show the period of time that combined with technical indicators and market conditions exists a higher significant to explain the trading strategy than employs the period of market conditions(in the bear and bull period) only.
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