A Study of Mutual Fund Investment Strategy Combined with Technical Indicators and Market Conditions
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 po...
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ndltd-TW-089PU0001210172015-10-13T12:09:59Z http://ndltd.ncl.edu.tw/handle/41886334613988134624 A Study of Mutual Fund Investment Strategy Combined with Technical Indicators and Market Conditions 結合技術指標與市場狀態對共同基金操作策略之研究 Hung-Cheng Lai 賴弘程 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. Chia-Chung Chan Ming-Zhen Wu 詹家昌 吳明真 2001 學位論文 ; thesis 66 zh-TW |
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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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author2 |
Chia-Chung Chan |
author_facet |
Chia-Chung Chan Hung-Cheng Lai 賴弘程 |
author |
Hung-Cheng Lai 賴弘程 |
spellingShingle |
Hung-Cheng Lai 賴弘程 A Study of Mutual Fund Investment Strategy Combined with Technical Indicators and Market Conditions |
author_sort |
Hung-Cheng Lai |
title |
A Study of Mutual Fund Investment Strategy Combined with Technical Indicators and Market Conditions |
title_short |
A Study of Mutual Fund Investment Strategy Combined with Technical Indicators and Market Conditions |
title_full |
A Study of Mutual Fund Investment Strategy Combined with Technical Indicators and Market Conditions |
title_fullStr |
A Study of Mutual Fund Investment Strategy Combined with Technical Indicators and Market Conditions |
title_full_unstemmed |
A Study of Mutual Fund Investment Strategy Combined with Technical Indicators and Market Conditions |
title_sort |
study of mutual fund investment strategy combined with technical indicators and market conditions |
publishDate |
2001 |
url |
http://ndltd.ncl.edu.tw/handle/41886334613988134624 |
work_keys_str_mv |
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