A study of Grey Theory on Technical Analysis of Securities Market-An Example of the Mongan Stanley Taiwan Stock Market Index’Component Stock

• Main Authors: Lu,Kuo Liang, 盧國良
• Other Authors: CHANG, Kung-Hsiung
• Format: Others
• Language: zh-TW
• Published: 2005
• Online Access: http://ndltd.ncl.edu.tw/handle/88726572566333645535

碩士 === 國立屏東科技大學 === 企業管理系碩士班 === 93 === This study takes the MSCI Taiwan Component Stock for example. Such stock price technical analysis indices as RSI, BIAS, KD among the traditional technical indices are used. The daily, weekly and monthly closing stock price from January 1998 to June 2004 (after the weight is undone) are adopted as the sample data. We try to introduce GM (1,1) into the sample data to obtain the results before and after the transparent treatment. As an empirical result and the performance evaluation of the t-Test of the average rate of return and Sharpe & Treynor, it is found that: I. Different primary technical indices vary in the investment performance and The investment performance of the primary technical indices in this study is all greater than that of the stock market. II. Using the buy-and-hold≦1 investment performance of Compnent Stock as a investment porfolio, the performance evaluation of the Sharpe & Treynor, after the transparent treatment and the original technical indices is all better than that of the buy-and-hold. III. After the GM (1,1) transparent treatment, the investment performance of the technical index is all greater than that of the primary technical indices, except for Month BIAS and Month KD. IV. The technical indices can build up more stable and accurate forecasting model than the primary technical indices, after the GM (1,1) transparent treatment. The resultes can provide the investors with a reference index for them to make comparison with the investment simulation performance of buying, selling or holding. Key Words: GM (1, 1), MSCI Taiwan Index Component Stock, RSI, BIAS, KD Value