The impact of the tick size change on intraday technical trading: An empirical investigation of the Taiwan Stock Exchange

• Main Authors: Wei-Cheng Lu, 盧威成
• Other Authors: Chin-Sheng Huang
• Format: Others
• Language: zh-TW
• Published: 2013
• Online Access: http://ndltd.ncl.edu.tw/handle/23657525932933426742

碩士 === 國立雲林科技大學 === 財務金融系碩士班 === 101 === The Taiwan Stock Exchange has reduced the minimum tick size effectively on March 1, 2005. This paper investigates the impacts of the tick size conversion on the trading profitability of intraday technical analysis on individual stocks. We employ two categories of technical trading strategies, moving average and trading range break from Brock et al.(1992), to examine the profitability of buy signals and sell signals emitted by each trading rule. We find, after the reduction of tick size, the difference between the returns of buy-signals and sell-signals is significantly reduced, and also does the profitability of each trading strategy. The result is consistent with the presumption that the reduction of tick size can increase market efficiency which leading to decreasing in the profitability of technical analysis. Furthermore, sell-signals in general outperform buy-signals, and the number of companies which can generate significant positive returns by sell-signals also higher than buy-signals as well. However, the overall returns of intraday technical analysis are lower than the buy-and-hold strategy.