| Summary: | 碩士 === 東海大學 === 管理碩士學程在職進修專班 === 92 === Abstract
In this research, I use the popular technical indexes including the Stochastic KD and the Moving Averages to build the trading rules. Using those trading rules to test the performance of Taiwan Stock Market from year 1992 to 2001. Further more, I use those trading rules with the firm’s characteristics to test the Taiwan Stock Market performance. The result is the technical trading rules outperform than the buy and hold strategy in the Taiwan Stock Market. In Aggressive Portfolio Management, the portfolio of high volume turnover rate outperforms than the buy and hold strategy. In Growth Stock, the portfolios of the high E/P, high asset turnover rate, high sales growth rate and high EBIT growth rate outperform than the buy and hold strategy. Technical trading rules are not only useful in the Aggressive Portfolio Management but the Growth Stocks
Besides the Taiwan Stock Market, I use the technical trading rules to test the global main stock market indexes. The empirical results show that technical trading rules outperform than buy and hold strategy only in the Nikkei 225 index and the Singapore Strait Index.
Applied to the simulation data of the time series models, technical trading rules underpeform than the buy and hold strategy. From those results, I conclude that the technical trading rules are more useful in flat or bear market conditions in which the technical trading rules function as a ‘ stop loss’ instrument.
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