Adopt Technical Analysis to Investigate on Indexes Effects and Selection Decisions of Taiwan Stock Futures

• Main Authors: Chang,Han-Sheng, 張瀚升
• Other Authors: Tsai,Chui-Chun
• Format: Others
• Language: zh-TW
• Published: 2012
• Online Access: http://ndltd.ncl.edu.tw/handle/39909355194200213480

碩士 === 靜宜大學 === 會計學系 === 100 === Doing business in a stock market is complex and sensitive. Several factors that will affect the stock price are considered, such as the fundamentals, information, chips, techniques, politics. Among them, technical analysis serves as one of the frequent ways to predict the fluctuation of stock price. Due to its own complexity and diversity, however, technical index is not such a direct way by which general public can judge easily the up and down in the stock market.This research use “Taiwan Stock Futures” as sample, including Yuanta, Formosa Petrochemical, SinoPac, MXIC, Evergreen Marine, Yang Ming Marine, Chimei Innolux , Hon Hai Precision Industry, Polaris Securities, Chinatrust Financial Holding, Compal Electronics, AUO, Advanced Semiconductor Engineering, Taiwan Semiconductor Manufacturing Company, Cathay Financial Holding, Fubon, Walsin Technology , and United Microelectronics. This paper used these 18 Stock Futures’s date daily for 18 months, from January 25th, 2010 to June 15th, 2011. There are 14 technical indexes which are used as empirical variables, including R&D Rate, KD, MA, BIAS, MTM, WMS%R, CDP, DIF, PSY, QSTICK, MAV, TV, OI, and OBV. Multiple Regression Analysis is also used to examine the validity and the effects of these technical indexes. Therefore, we confer the applicability of price volume technical indexes in the 18 Stock Futures, the technical analysis of individual Stock Futures, and the relation with their stock returns. The empirical result indicates:(I)The effect of indexes: Among the 14 technical indexes which fit in with the empirical hypothesis, we divide them into price index and Quantity index. In terms of price index, R&D Rate gets the best ROI; the next are PSY, CDP, BIAS, k index, WMS%R; d index, MA, DIF and MTM get the worst. As for Quantity index, QSTICK gets the best ROI; the next is MAV; TV, OI and OBV get the worst. (II) Stock Selection Decisions: In the process of the 14 technical indexes’ application on those 18 Stock Futures, the stock returns of Yuanta, Formosa Petrochemical and Chinatrust Financial Holding achieve more significance on the variables; the next are SinoPac, Evergreen Marine and Yang Ming Marine; the stock returns of MXIC, Chimei Innolux, Hon Hai Precision Industry, Polaris Securities, Compal Electronics, AUO, Advanced Semiconductor Engineering, Taiwan Semiconductor Manufacturing Company, Cathay Financial Holding, Fubon, Walsin Technology and United Microelectronics show less significance.