On the trading strategies in the Taiwan stock market

• Main Authors: Ching-Wen Hung, 洪涇紋
• Other Authors: Chih-Chaing Wu
• Format: Others
• Language: en_US
• Published: 2016
• Online Access: http://ndltd.ncl.edu.tw/handle/egzwn7

碩士 === 元智大學 === 財務金融暨會計碩士班(財務金融學程) === 104 === In this paper, I constructed the 15 trading strategies by the technical and chip indicators. I chose all component stocks in the Taiwan 50 index making up the largest 1-50 firms in Taiwan and the Taiwan mid-cap 100 index making up the largest 51-150 firms in Taiwan from 2003 to 2015. Although the strategies constructed by technical indicators cannot always beat the buy and hold strategy, it can reduce the return volatility. I also find that the strategy based on the MA indicator can generate higher return than other strategies.