Using the Relative Strength Indicator to Test thePerformance of Investment for TAIEX Index Options, Hang Seng Index Options and KOSPI 200 Options.

• Main Authors: Yu-Tsung Chen, 陳裕宗
• Other Authors: Wenyi Lin
• Format: Others
• Language: zh-TW
• Published: 2005
• Online Access: http://ndltd.ncl.edu.tw/handle/72544346706546240411

碩士 === 逢甲大學 === 財務金融學所 === 93 === The objective of the article is to examine the performance of the naked strategy in that TAIEX index options, Hang Seng Index Options and KOSPI 200 Options by the Relative Strength Indicator（RSI）applied in the technical analysis. The sample period are from December 24, 2001 to April 29, 2005, including the 830 intraday data of the TAIEX index and the present and secondary transaction month of the closing prices on the call and put options. The sample period are from January 2, 2004 to April 29, 2005, including the 332 intraday data of the Hang Seng index, KOSPI 200 and the present and secondary transaction month of the closing prices on the call and put options. The study proposes a RSI strategy on index to indicate the signals for in or out of the market with respect to the bear and bull markets. At a given bull market signal, the investors buy the present and secondary call and sell the present and secondary put options of the index options market. On the contrary, at a given bear market signal, the investors sell the present and secondary call and buy the present and secondary put options of the index options markets. Finally, we compare the return of the index with our signaling strategy. The empirical results show that whether taking transaction costs into account or not, investors could earn positive holding return from the index option markets with any bull or bear naked strategy. Also, whether in which index options or in which transaction month, investors cloud earn positive holding return form the index option markets.