A Study on the Effectiveness of Technology Analysis on Taiwan Stock-Index Futures through K-Line and KD Indicator

• Main Authors: Kun-Hao Hsu, 徐坤豪
• Other Authors: Chia-Ying Ma
• Format: Others
• Language: zh-TW
• Published: 2006
• Online Access: http://ndltd.ncl.edu.tw/handle/40349026067889308808

碩士 === 東吳大學 === 會計學系 === 94 === The mobility of the domestic stock market is confined by the restriction on short sales below closing price, causing an inequality between the long and short position holders. Whilst such restrictions have been lifted for component stocks under the TSEC Taiwan 50 Index since 16 May 2005, individual investors still have difficulties in grasping precisely the movements in the basic aspect of individual securities, especially in view of the specific capital requirement for such stocks. On the other hand, stock-index futures, which are not subject to such restrictions, enjoy higher flexibility in the manipulation of long and short positions. Comparatively, they are more indicative in view of the larger transaction base, more frequent daily transactions, and larger number of market participants. Mainly for short-term trading, the stock-index futures are also more suitable for technical analysis. In this dissertation, we therefore chose the Taiwan Stock Index Futures (TSIF) as our target of research and adopted the monthly data of TSIF during the period of 2 January 2005 to 31 December 2005 for the simulation test. Using the Candlestick Signals (K-line) and the KD technical analysis, we managed to sort out the trade signals for order placing, thereby obtained the investment performance under the established target cycle and profit level through a simulated investment at the selected time point. The purpose of these two patterns of technical analysis was to decide whether they would contribute to the elevation of investment performance for the investors, or even achieve better performance than the average price rising or falling range for TSIF within the same period.  The conclusion we reached from the exercise was as follows:- --The result of the simulation showed that, among all the candlestick signals (K -line) with high appearing frequency, some had proven to provide effective contribution to the decision-making of investors after considering the investment cost; whilst the rest only showed limited effect or no effect to such process. It is recommended that, for those with unsatisfactory performance, a stop-loss mechanism should be established to avoid the adverse impact to investment return caused by increased trade loss. --The result also showed that, when two indicators were used simultaneously (single or compound k-line, plus the screening conducted through KD) to decide the best time point for the trade, there existed a higher opportunity to achieve a higher investment return than buying/holding the securities at the beginning of the simulation period (the beginning of the year). This supports the fact that the technical analysis through Candlestick Signals (K-Line pattern) is still a referable instrument to grasp the short-term fluctuation trend of the Taiwan Stock-Index Futures.