The Study on the Technical Indicator of Taiwan Stock Market-Using Different Data Frequencies

• Main Authors: Chen, Shu Ling, 陳淑玲
• Other Authors: Wang, Kai-Li
• Format: Others
• Language: zh-TW
• Published: 2010
• Online Access: http://ndltd.ncl.edu.tw/handle/76645500316006631157

碩士 === 東海大學 === 財務金融學系碩士在職專班 === 98 === Upon this paper, we use daily and weekly frequency technical indicators to analyze the investment performance in Taiwan Stock market. We select Stochastic Oscillator (KD) and Moving Average Line (MA) to study. Considering the following periods: 5 days (5 weeks)-MA, 60 days(13 weeks)-MA, 120 days(26 weeks)-MA, 240 days(52 weeks)-MA. Those indicators represent short-term trading, quarterly report effect, semi-annual report effect, and annual report effect respectably. The findings in the study of weekly data are that we can get the best return by the 13 weeks-MA indicator. Follow 60 days-MA and 9 days-KD indicator simultaneous can cause the best return. Furthermore study the intra daily data. The result is that to use 60 units-MA and 9 units-KD simultaneously is the optimum trading strategy. Compare the performance among weekly, daily and intra daily data. We discover Intra daily indicator show the best profit. The next are daily and weekly indicator respectably. For this research we find that there exist a long-term equilibrium relationship between TAIEX and MA. They show the co-integration character; Through regression analysis we find that there exist a significant positive relationship between 5 days-MA and TAIEX, a significant negative relationship between 60 days-MA and TAIEX. This article prove technical indicators are effective investment tools in Taiwan Stock market. Especially MA and KD indicators can support exceeding profit. In addition the higher frequency indicator we apply the better performance we get. It explicate the real important to decide the right frequency data and proper technical indicator.