The Technical Analysis on the Taiwan Stock Market: Combined Signal Approach

• Main Authors: Tsung-Wen Hu, 胡宗文
• Other Authors: Jain-Fa Li
• Format: Others
• Language: zh-TW
• Published: 2010
• Online Access: http://ndltd.ncl.edu.tw/handle/93774929198436699799

碩士 === 朝陽科技大學 === 財務金融系碩士班 === 98 === Lento & Gradojevic (2007) and Lento (2008) evidence that the Combined Signal Approach (CSA) is more profitable than both the individual signals alone and naïve buy and hold trading rules do. In the present paper, we examine the profitability of the CSA on the Taiwan stock market over the period 1989 to 2009. After considering the impact of period, sample selection bias, survivorship bias, liquidity, transaction costs on CSA profitability, we investigate its profitability over three sub-samples to determine if it persists across samples. The results demonstrate that the CSA improves the profitability of individual trading rules and outperforms the buy and hold strategy even considering transaction costs.