A Study of Relationship among Taiwan 50 ETF, Taiwan 50 Securities And Market Momentum

• Main Authors: Feng-ming Yu, 游豐銘
• Other Authors: Min-Hsien Chiang
• Format: Others
• Language: zh-TW
• Published: 2008
• Online Access: http://ndltd.ncl.edu.tw/handle/46476706308712071919

碩士 === 國立成功大學 === 企業管理學系碩博士班 === 96 === Taiwan 50 ETF is the Taiwan Stock Exchange (TSE) first grade of Exchange Trade Fund (ETF), its amphicommodity with characteristic of "Fund" and "Stock” provides the way of investment mode which the lower cost, risk dispersible underlying assets. The purpose of this discourse is to explore whether the impact of divinable correlation among the indicator of fund indicator which information ratio and technical analysis of Stock on the Stochastic KD line (KD) and Moving average convergence and divergence (MACD). We also use the technique indicators to test whether the trading performance with KD and MACD superior to Buy and Hold strategy in the market momentum. The findings of these empirical results is to present that information ratio is related to BAR values of MACD indicators, as the result of Vector autoregression model testing, the BAR values is to get ahead information ratio variation almost three days. The analysis between trading signals of MACD indicator and tracking error indicated that the Taiwan 50 ETF’s tracking error volatility in the bearish is going to expanding, whereas that stable in the bullish. To integrate all of trading performance show that Stochastic KD line can be applied to bearish superior to MACD indicator and Buy and Hold strategy in the market momentum.