The Investment Performance of Timing Strategies in Taiwan Stock Market
碩士 === 國立雲林科技大學 === 財務金融系 === 105 === This paper attempts to examine the investment strategy of the volatility index issued by the Chicago Board of Options (CBOE), Moving Average, traditional timing strategy and long-term and short-term spread. We use the buy-and-hold strategy to compare with the in...
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ndltd-TW-105YUNT03040112018-05-15T04:31:48Z http://ndltd.ncl.edu.tw/handle/wj49ab The Investment Performance of Timing Strategies in Taiwan Stock Market 擇時策略在台灣股市之投資績效 HSIEH, MING-CHIN 謝明晉 碩士 國立雲林科技大學 財務金融系 105 This paper attempts to examine the investment strategy of the volatility index issued by the Chicago Board of Options (CBOE), Moving Average, traditional timing strategy and long-term and short-term spread. We use the buy-and-hold strategy to compare with the investment performance from different investment strategies in Taiwan stock market. Using Taiwan Stock Exchange and stocks of the eight major sectors during the 2006-2016 period, purpose of understanding the correlation between timing strategies and the investment targets is to provide reference resource with the investors in stock market in Taiwan. Then we adopt financial crisis during the 2008-2009 period and divide period into 2006-2009 and 2010-2016 to evaluate pros and cons of the different timing strategies investment performance between bull market and bear market. The results show as follows that (1) The volatility index and traditional timing strategy are the best timing strategies in our study, and the return of investment for timing strategy is superior to that for the buy-and-hold strategy. (2) Most the returns of long-term and short-term spread strategy are bad, that is merely applicable to Taiwan Stock Exchange, cement stocks, textile stocks and shipping stocks. (3) For Moving Average is based on non-parametric approach, only the returns of cement stocks and food stocks are bad. (4) For Moving Average is based on gold cross approach, the returns of investment for shipping stocks and banking & insurance Index timing strategy are superior to that for the buy-and-hold strategy. Obviously, timing strategy is better than the buy-and-hold strategy in Taiwan stock market. LIN, SHIN-HUNG 林信宏 2017 學位論文 ; thesis 46 zh-TW |
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碩士 === 國立雲林科技大學 === 財務金融系 === 105 === This paper attempts to examine the investment strategy of the volatility index issued by the Chicago Board of Options (CBOE), Moving Average, traditional timing strategy and long-term and short-term spread. We use the buy-and-hold strategy to compare with the investment performance from different investment strategies in Taiwan stock market. Using Taiwan Stock Exchange and stocks of the eight major sectors during the 2006-2016 period, purpose of understanding the correlation between timing strategies and the investment targets is to provide reference resource with the investors in stock market in Taiwan. Then we adopt financial crisis during the 2008-2009 period and divide period into 2006-2009 and 2010-2016 to evaluate pros and cons of the different timing strategies investment performance between bull market and bear market. The results show as follows that (1) The volatility index and traditional timing strategy are the best timing strategies in our study, and the return of investment for timing strategy is superior to that for the buy-and-hold strategy. (2) Most the returns of long-term and short-term spread strategy are bad, that is merely applicable to Taiwan Stock Exchange, cement stocks, textile stocks and shipping stocks. (3) For Moving Average is based on non-parametric approach, only the returns of cement stocks and food stocks are bad. (4) For Moving Average is based on gold cross approach, the returns of investment for shipping stocks and banking & insurance Index timing strategy are superior to that for the buy-and-hold strategy. Obviously, timing strategy is better than the buy-and-hold strategy in Taiwan stock market.
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author2 |
LIN, SHIN-HUNG |
author_facet |
LIN, SHIN-HUNG HSIEH, MING-CHIN 謝明晉 |
author |
HSIEH, MING-CHIN 謝明晉 |
spellingShingle |
HSIEH, MING-CHIN 謝明晉 The Investment Performance of Timing Strategies in Taiwan Stock Market |
author_sort |
HSIEH, MING-CHIN |
title |
The Investment Performance of Timing Strategies in Taiwan Stock Market |
title_short |
The Investment Performance of Timing Strategies in Taiwan Stock Market |
title_full |
The Investment Performance of Timing Strategies in Taiwan Stock Market |
title_fullStr |
The Investment Performance of Timing Strategies in Taiwan Stock Market |
title_full_unstemmed |
The Investment Performance of Timing Strategies in Taiwan Stock Market |
title_sort |
investment performance of timing strategies in taiwan stock market |
publishDate |
2017 |
url |
http://ndltd.ncl.edu.tw/handle/wj49ab |
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