The Construction of Stock Trading Strategies Using Technical Indicators and Investor Sentiment Indicators

• Main Authors: Lam Hsien Chih, 林先志
• Other Authors: Lin Chung Gee
• Format: Others
• Language: zh-TW
• Published: 2014
• Online Access: http://ndltd.ncl.edu.tw/handle/74106626973892941683

碩士 === 東吳大學 === 財務工程與精算數學系 === 102 === To achieve a better investment performance, investors should know more about the fundament analysis, investor sentiments, and technical analysis of the market. By way of the aid of investor sentiments indicators and technical analysis indicators, people can better know when to buy or sell stocks. This study used the Taiwan ETF stock (TW 0050) as the underlying asset of investment, and constructing stock trading strategies by using technical indicators and investor sentiment indicators. The empirical results showed that VIX index can predict the future stock returns. The performance of trading strategies based on VIX index is better than the buy-and-hold strategy in the bear market. In addition, the stop-loss mechanism is necessary, especially in the bear market.