Profitability of Technical Analysus in Frequent Tradings:Evidence from Taiwan Stock Market

• Main Authors: TSENG,CHIAO-CHEN, 曾喬鎮
• Other Authors: HUANG, CHIN-SHENG
• Format: Others
• Language: zh-TW
• Published: 2017
• Online Access: http://ndltd.ncl.edu.tw/handle/x87bf4

碩士 === 國立雲林科技大學 === 財務金融系 === 105 === This study investigates the profitability of applying a technical trading rule in Taiwan stock market. The technical trading rule integrates strict moving averages of both price and trading volume for forming the timing of buying signals. The empirical data involve a total of 806 listing firms of Taiwan stock exchange during the whole trading days of year 2016 and generate 587 buying signals. This study calculates the trading profits of all signals and examines the association of relevant market trading characteristics and fundamental financial variables on technical analysis profitability. The empirical results indicate: (1) The technical trading rule can generate positive returns in terms of mean and median across four testing holding periods. (2) The portfolio analysis shows that only price-sale ratio can significantly impacts the profits of technical rule. The results point out that the stocks with higher price-sale ratio generate more technical trading profits than those with lower price-sale ratio counterparts. (3) The fitness measures of estimated regression, adj-R2 and F-stat, signify little explanatory power of market trading characteristics and fundamental financial variables on technical analysis profitability.