The impact of the tick size change on intraday technical trading: An empirical investigation of the Taiwan Stock Exchange
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 categorie...
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ndltd-TW-101YUNT53040302015-10-13T22:57:22Z http://ndltd.ncl.edu.tw/handle/23657525932933426742 The impact of the tick size change on intraday technical trading: An empirical investigation of the Taiwan Stock Exchange 台灣證券交易所調降股票升降單位對盤中技術分析之影響 Wei-Cheng Lu 盧威成 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. Chin-Sheng Huang 黃金生 2013 學位論文 ; thesis 61 zh-TW |
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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.
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author2 |
Chin-Sheng Huang |
author_facet |
Chin-Sheng Huang Wei-Cheng Lu 盧威成 |
author |
Wei-Cheng Lu 盧威成 |
spellingShingle |
Wei-Cheng Lu 盧威成 The impact of the tick size change on intraday technical trading: An empirical investigation of the Taiwan Stock Exchange |
author_sort |
Wei-Cheng Lu |
title |
The impact of the tick size change on intraday technical trading: An empirical investigation of the Taiwan Stock Exchange |
title_short |
The impact of the tick size change on intraday technical trading: An empirical investigation of the Taiwan Stock Exchange |
title_full |
The impact of the tick size change on intraday technical trading: An empirical investigation of the Taiwan Stock Exchange |
title_fullStr |
The impact of the tick size change on intraday technical trading: An empirical investigation of the Taiwan Stock Exchange |
title_full_unstemmed |
The impact of the tick size change on intraday technical trading: An empirical investigation of the Taiwan Stock Exchange |
title_sort |
impact of the tick size change on intraday technical trading: an empirical investigation of the taiwan stock exchange |
publishDate |
2013 |
url |
http://ndltd.ncl.edu.tw/handle/23657525932933426742 |
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