A Study on Investment Performance of Technical Analysis
碩士 === 國立雲林科技大學 === 財務金融系碩士班 === 100 === This study investigates the investment performance for technical analysis. The data consist of daily stock prices of 541 companies in TWSE (Taiwan Stock Exchange Corporation) and TAIEX (Taiwan Stock Exchange Capitalization Weighted Stock Index) during the per...
Main Authors: | , |
---|---|
Other Authors: | |
Format: | Others |
Language: | zh-TW |
Published: |
2012
|
Online Access: | http://ndltd.ncl.edu.tw/handle/74582463659857542884 |
id |
ndltd-TW-100YUNT5304060 |
---|---|
record_format |
oai_dc |
spelling |
ndltd-TW-100YUNT53040602015-10-13T21:55:45Z http://ndltd.ncl.edu.tw/handle/74582463659857542884 A Study on Investment Performance of Technical Analysis 技術分析之投資績效研究 Ching-Hung Chen 陳勁宏 碩士 國立雲林科技大學 財務金融系碩士班 100 This study investigates the investment performance for technical analysis. The data consist of daily stock prices of 541 companies in TWSE (Taiwan Stock Exchange Corporation) and TAIEX (Taiwan Stock Exchange Capitalization Weighted Stock Index) during the period from January 1, 2002 to December 31, 2011. The investment period is assumed to the sample period. We apply ten trading strategies of individual and combinative technical indicators including SMA, KD, RSI, and BIAS to the stock prices for each company. Then the returns are obtained in the investment period. Next, T-test is used to analyze the results as the examination method. The empirical results reveal both facts as the follows. For all individual indicators, BIAS has the highest average return and the most companies which perform better to the TAIEX index. For combinative indicators, the average return of SMA and KD is the highest and the RSI and BIAS combination has the highest probability of beating the TAIEX for returns of all companies. Furthermore, the BIAS and KD combination obtain better performance in the out-of-sample examination. Shin-Hung Lin 林信宏 2012 學位論文 ; thesis 61 zh-TW |
collection |
NDLTD |
language |
zh-TW |
format |
Others
|
sources |
NDLTD |
description |
碩士 === 國立雲林科技大學 === 財務金融系碩士班 === 100 === This study investigates the investment performance for technical analysis. The data consist of daily stock prices of 541 companies in TWSE (Taiwan Stock Exchange Corporation) and TAIEX (Taiwan Stock Exchange Capitalization Weighted Stock Index) during the period from January 1, 2002 to December 31, 2011. The investment period is assumed to the sample period. We apply ten trading strategies of individual and combinative technical indicators including SMA, KD, RSI, and BIAS to the stock prices for each company. Then the returns are obtained in the investment period. Next, T-test is used to analyze the results as the examination method. The empirical results reveal both facts as the follows. For all individual indicators, BIAS has the highest average return and the most companies which perform better to the TAIEX index. For combinative indicators, the average return of SMA and KD is the highest and the RSI and BIAS combination has the highest probability of beating the TAIEX for returns of all companies. Furthermore, the BIAS and KD combination obtain better performance in the out-of-sample examination.
|
author2 |
Shin-Hung Lin |
author_facet |
Shin-Hung Lin Ching-Hung Chen 陳勁宏 |
author |
Ching-Hung Chen 陳勁宏 |
spellingShingle |
Ching-Hung Chen 陳勁宏 A Study on Investment Performance of Technical Analysis |
author_sort |
Ching-Hung Chen |
title |
A Study on Investment Performance of Technical Analysis |
title_short |
A Study on Investment Performance of Technical Analysis |
title_full |
A Study on Investment Performance of Technical Analysis |
title_fullStr |
A Study on Investment Performance of Technical Analysis |
title_full_unstemmed |
A Study on Investment Performance of Technical Analysis |
title_sort |
study on investment performance of technical analysis |
publishDate |
2012 |
url |
http://ndltd.ncl.edu.tw/handle/74582463659857542884 |
work_keys_str_mv |
AT chinghungchen astudyoninvestmentperformanceoftechnicalanalysis AT chénjìnhóng astudyoninvestmentperformanceoftechnicalanalysis AT chinghungchen jìshùfēnxīzhītóuzījīxiàoyánjiū AT chénjìnhóng jìshùfēnxīzhītóuzījīxiàoyánjiū AT chinghungchen studyoninvestmentperformanceoftechnicalanalysis AT chénjìnhóng studyoninvestmentperformanceoftechnicalanalysis |
_version_ |
1718070197033631744 |