Application of Moving Average,Relative Strength Index and Volume to Test the Efficiency of Taiwan Stock Market

• Main Authors: Cheng-Yuan Hsieh, 謝政遠
• Other Authors: Wenyi Lin
• Format: Others
• Language: zh-TW
• Published: 2004
• Online Access: http://ndltd.ncl.edu.tw/handle/44738868367073013086

碩士 === 逢甲大學 === 財務金融學所 === 92 === In this study, we revise CRISMA trading rules and use the signal of “multiple confirm” buying and selling as the basis of buy-long and sell-short to test whether the symmetrical trading rules can get excess returns and whether Taiwan stock market supports weak-form efficiency. Our sample period is 1987-2004, including 450 listed firms. In the testing process, trading rules employ buy-long and sell-short strategies. In our empirical finding, with transaction cost and no transaction cost, the trading rules of the signal of “multiple confirm” buying and selling obtain excess returns when we employ buy-long strategy. Hence, we conclude that the investment performance of the trading rules of the symmetrical trading rules is superior to that of the buy-and-hold strategy. Thus Taiwan stock market does not have weak-form efficiency market.