The Relationship between Technical Indicators and Excess Return- Evidence from Taiwan

• Main Authors: Po-Hsiung Huang, 黃柏雄
• Other Authors: Yung-Shun Tsai
• Format: Others
• Language: zh-TW
• Published: 2015
• Online Access: http://ndltd.ncl.edu.tw/handle/eh4e2h

碩士 === 亞洲大學 === 財務金融學系 === 103 === There are differences of opinion for the efficient market hypothesis in Taiwan stock market. The major debate are the existence of excess return and the effectiveness of technical analysis. Therefore, we use TSEC weighted index, Taiwan 50 index and Taiwan 100 index as samples to exam the relationship between the technical indicators and the excess returns from 2006 to 2014. The result shows that BIAS and OBV indicators of TSEC weighted index have significant positive correlation to excess return of the stock market. Secondly, MACD, BIAS and OBV indicators of Taiwan 100 index also have significant positive correlation to excess return. Besides, only BIAS indicator of Taiwan 50 index has significant positive correlation. Thus, technical indicator is not suitable for all situations in Taiwan stock market, so investors should be cautious about technical analysis.