Applying Technical Indicators: An Empirical Test of the Taiwan Government Bond Yield

• Main Authors: Jim Huang, 黃俊榮
• Other Authors: 李宗培
• Format: Others
• Language: zh-TW
• Published: 2003
• Online Access: http://ndltd.ncl.edu.tw/handle/71027632656992059704

碩士 === 輔仁大學 === 金融研究所 === 91 === Applying Technical Indicators: An Empirical Test of the Taiwan Government Bond Yield KEYWORDS: technical indicators, government bond yield, KD, RSI, BIAS ABSTRACT: The study applies technical indicators that are frequently monitored by the participants of the Taiwan government bond market to the Taiwan government bond yield data to see if technical analysis would generate excess returns. The yield data is converted to the price data, and the returns are calculated based on the price data. The entire period of available data is divided into sub-periods of 22 trading days per period. The first part of the study compares the performance of the active trading strategy based on technical indicators to that of the buy-and-hold strategy for all sub-periods. While the number of sub-periods in which the buy-and-hold strategy outperforms is greater in the bull market, the number of sub-periods in which the active trading strategy outperforms is greater in the bear market. The technical indicators seem to correctly generate sell signals so that the number of sub-periods that the active trading strategy outperforms the buy-and-hold strategy in the bear market is substantially greater. In a leveling market, neither strategy prevails. In the second part of the study, an average return is calculated for each of all sub-periods, and statistical tests are applied to these average returns. The statistical tests conclude that all technical indicators are not significant. The average return for the entire period of the active trading strategy is greater than that of the buy-and-hold strategy. However, the profits of the active trading strategy are mainly generated through selling in the bear market, and the active trading strategy does not outperform the buy-and-hold strategy in the bull market. Therefore, the study concludes that the active trading strategy based on technical analysis does not outperform a simple buy-and-hold strategy.