| Summary: | 碩士 === 逢甲大學 === 統計與精算所 === 95 === This research uses the Relative Strength Index (abbrevited as RSI) applied in technical analysis to measure the investment performance of the spread strategy in TAIEX Option (TXO).The sample period were from July 1, 2002 to September 31, 2006, including the 1055 intraday data.The daily data include the TAIEX index and the closing prices of the TXO for the spot and following months.The spread range were to fetch one spread unit upward and downward from the central strike price.Consider the unit of spread is {100,200} and the central strike price is a strike price that is close to the TAIEX index at expiration date.
The study proposes a RSI strategy on TAIEX 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 bull call spread and bull put spread.On the countrary, at a given bear market signal, the investors buy the bear call spread and bear put spread.We compare the monthly return of the TAIEX index with that of our spread strategy.Finally, we fited a linear regression with the monthly return of the best performace of the spread strategy and forecast it by the monthly return of TAIEX index.
The empirical results show that whether taking transaction costs into account or not, the performance of put option is greater than that of call option and the downward spread is greater then the upward spread in the bull spread strategy for the spot transactions month.In the bull put spread, downward 200 spread strategy can result in positive return and it''s return is significant greater than spot return regardles of taking transaction costs into account or not.
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