An Empirical Study of Technical Analysis Indicators – Evidence from Taiwan Stock Market
碩士 === 國立虎尾科技大學 === 經營管理研究所 === 103 === The purpose of this study is to examfive commonly used technical analysis indicators - Moving Average (MA), the Stochastic (KD), the relative strength index (RSI), and Moving Average Convergence Divergence (MACD) and the deviation rate index (Bias) applies whe...
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ndltd-TW-103NYPI54570242019-09-22T03:41:17Z http://ndltd.ncl.edu.tw/handle/8fsfju An Empirical Study of Technical Analysis Indicators – Evidence from Taiwan Stock Market 常用技術指標之實證分析—以台灣股票市場為例 Yu-Chiao Cheng 鄭宇喬 碩士 國立虎尾科技大學 經營管理研究所 103 The purpose of this study is to examfive commonly used technical analysis indicators - Moving Average (MA), the Stochastic (KD), the relative strength index (RSI), and Moving Average Convergence Divergence (MACD) and the deviation rate index (Bias) applies when the Taiwan stock market remuneration, risk and performance, and compared with the performance in the same period of the weighted stock price index for investor information. In this paper, empirical period of January 1, 2009 to September 30, 2014, using the Japanese data and all of Taiwan''s publicly traded common shares as an investment target. The empirical results show, on the cumulative rate of return in terms of the period of the sample to the RSI (183.52%) and MACD indicators (90.67%) Highest; it compared to winning the broader market in terms of rate of return, RSI and MACD indicators still show better, each about two-thirds during the demonstration, which is beyond the market rate of return. On average pay rates, the monthly RSI indicator highest paid (1.42%), while the lowest KD index (-1.49%), five indicators There are two indicators (RSI, MACD) monthly remuneration of the broader market over the same period . Venture capital is concerned, the highest standard deviation (5.62%) RSI indicators, the lowest standard deviation (2.45%) MA indicators, five indicators have two indicators (RSI, MACD) investment risk than the market. In Sharp indicators (Sharpe Index), as measured in terms of investment performance, the best performance Bias index (0.9076), the worst performance indicators KD (-1.5458), five indicators, there are three (RSI, MACD, Bias) Sharp indicators over the market. The resultsof this paper show that technical analysis is applied to the Taiwan stock market is efficient. Results of this study also show that Taiwan''s stock market is not in line with the EMH (Efficient Market Hypothesis). 吳建臺 2015 學位論文 ; thesis 42 zh-TW |
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碩士 === 國立虎尾科技大學 === 經營管理研究所 === 103 === The purpose of this study is to examfive commonly used technical analysis indicators - Moving Average (MA), the Stochastic (KD), the relative strength index (RSI), and Moving Average Convergence Divergence (MACD) and the deviation rate index (Bias) applies when the Taiwan stock market remuneration, risk and performance, and compared with the performance in the same period of the weighted stock price index for investor information. In this paper, empirical period of January 1, 2009 to September 30, 2014, using the Japanese data and all of Taiwan''s publicly traded common shares as an investment target. The empirical results show, on the cumulative rate of return in terms of the period of the sample to the RSI (183.52%) and MACD indicators (90.67%) Highest; it compared to winning the broader market in terms of rate of return, RSI and MACD indicators still show better, each about two-thirds during the demonstration, which is beyond the market rate of return. On average pay rates, the monthly RSI indicator highest paid (1.42%), while the lowest KD index (-1.49%), five indicators There are two indicators (RSI, MACD) monthly remuneration of the broader market over the same period . Venture capital is concerned, the highest standard deviation (5.62%) RSI indicators, the lowest standard deviation (2.45%) MA indicators, five indicators have two indicators (RSI, MACD) investment risk than the market. In Sharp indicators (Sharpe Index), as measured in terms of investment performance, the best performance Bias index (0.9076), the worst performance indicators KD (-1.5458), five indicators, there are three (RSI, MACD, Bias) Sharp indicators over the market. The resultsof this paper show that technical analysis is applied to the Taiwan stock market is efficient. Results of this study also show that Taiwan''s stock market is not in line with the EMH (Efficient Market Hypothesis).
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author2 |
吳建臺 |
author_facet |
吳建臺 Yu-Chiao Cheng 鄭宇喬 |
author |
Yu-Chiao Cheng 鄭宇喬 |
spellingShingle |
Yu-Chiao Cheng 鄭宇喬 An Empirical Study of Technical Analysis Indicators – Evidence from Taiwan Stock Market |
author_sort |
Yu-Chiao Cheng |
title |
An Empirical Study of Technical Analysis Indicators – Evidence from Taiwan Stock Market |
title_short |
An Empirical Study of Technical Analysis Indicators – Evidence from Taiwan Stock Market |
title_full |
An Empirical Study of Technical Analysis Indicators – Evidence from Taiwan Stock Market |
title_fullStr |
An Empirical Study of Technical Analysis Indicators – Evidence from Taiwan Stock Market |
title_full_unstemmed |
An Empirical Study of Technical Analysis Indicators – Evidence from Taiwan Stock Market |
title_sort |
empirical study of technical analysis indicators – evidence from taiwan stock market |
publishDate |
2015 |
url |
http://ndltd.ncl.edu.tw/handle/8fsfju |
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