The Comparison of the Performance between Stop Loss and Buy-and-Hold Strategy in Taiwan Stock Index Futures Market.

• Main Authors: Hao-Teng Hsu, 許顥騰
• Other Authors: Jiang-He Hsu
• Format: Others
• Language: zh-TW
• Published: 2015
• Online Access: http://ndltd.ncl.edu.tw/handle/at9kx2

碩士 === 國立虎尾科技大學 === 財務金融研究所 === 103 === The purpose of this study is to compare the performance between stop loss and buy-and-hold strategy in Taiwan Stock Index Futures Market. The data used is daily data of Index Futures contracts and spans from 2st January 2006 to 7th November 2013. The empirical research is separated in four parts: In the first part, it can be found that the performance of buy-and-hold strategy is better than ATR stop loss strategy and time stop loss strategy, whereas both N-days low price stop loss strategy and percent stop loss strategy are not significant in 2st January 2006 to 7th November 2013. The result of the second part shows that the performance of buy-and-hold strategy is better than the four stop loss strategies mentioned in this study. As for the third part and the fourth part, the performance of all four stop loss strategies is better than the performance of buy-and-hold strategy in the bear market, but the performance of buy-and-hold strategy is better than the four stop loss strategies in the bull market. The findings of this study are as follows: In general, the performance of the four stop loss strategies is not better than the performance of buy-and-hold strategy in Taiwan index futures market. Only in the bear market, the four stop loss strategies are significantly better than the buy-and-hold strategy.