The Performance if Technical Rules: An Empirical Study on US Individual Firms

• Main Authors: YEH CHIEN YU, 葉建佑
• Other Authors: 徐俊明
• Format: Others
• Language: zh-TW
• Published: 2004
• Online Access: http://ndltd.ncl.edu.tw/handle/60566786737026042736

碩士 === 國立中興大學 === 財務金融研究所 === 92 === This study adopts three prevalent technical indicators, moving averages（MA）, stochastics（KD）, and range breakout（RB） to construct simple trading rules and then apply them to US individual stocks for the period 1980-2001. The results show that, compared to the buy-and-hold strategy, trading rules generally allow investors to bear lower risk and some of them do increase returns but some do not. It explains why technical analysis stands for a “believe or not” method in the real world. It is, however, difficult to identify whether the validity of some trading rules is by luck. Nevertheless, we demonstrate that technical rules functions as a break to stop loss for loser stocks but also forego profitable opportunities for winner stocks. Thus, technical rules appear to work better in a mature market such as NYSE/AMEX（ie., Successfully stop loss）but not in a growing market such as NASDAQ（ie., forego too mamy profitable opportunities）. Radically, our results do not refute the efficient market hypothesis（EMH）and contribute to provide more evidence to both the academics and practitioners.