An Empirical Study of Technical Indicators for Underlying Stocks of Taiwan 50 Index

• Main Authors: Yi-Ching Liao, 廖怡晴
• Other Authors: Jyh-Horng Lin
• Format: Others
• Language: zh-TW
• Published: 2004
• Online Access: http://ndltd.ncl.edu.tw/handle/45645053582211895361

碩士 === 淡江大學 === 國際貿易學系國際企業學碩士在職專班 === 94 === This research employs event study approaches to investigate if abnormal returns existed in underlying stocks of Taiwan 50 index by setting technical indicators as “events” for event study. Two kinds of “events” are investigated in this study. One is to calculate technical indicator, such as 6-day RSI > 80, 9-day K > 80, by same days, and the other is to calculate technical indicators by different day. For example, the first group includes 6-days RSI, 9-days K and 13-days PSY, and the second group includes 9-days K, 9-days D and 9-days KD. In addition, single and composite technical indicators are also examined. Then, there are several important findings are disclosed and shown as follows: 1. By using single technical indicators calculated by different days, investors could buy or hold stocks while signal shown by technical indicator such as 6-days RSI values < 20%, 9-days K values < 20%, or 6-days RSI values <10%. Besides, while K value > 90%, investors might short-selling stocks. 2. By employing composite technical indicators calculated by different days, investors might not get abnormal returns while the signals shown 6-days RSI, 9-days K, and 13-days PSY are all higher than 80 or lower than 20, or even higher than 90 or lower than 10. 3. By using single technical indicators calculated by same days, investors could buy or hold stocks while signal shown by technical indicator such as 9-days D value > 80%, 9-days KD values > 80%, or 9-days K values > 80%. In addition, while K value > 90%, investors still could short-selling stocks to make profit. 4. By employing composite technical indicators calculated by same days, investors might not get abnormal returns while the signals shown 9-days K, 9-days D, and 9-days KD are all higher than 80 or lower than 20, or even higher than 90 or lower than 10.