| Summary: | 碩士 === 國立雲林科技大學 === 財務金融系 === 105 === This thesis investigates the profitability of market timing strategies in Taiwan stock market. Nine timing strategies built on technical and fundamental indicators are applied on the Taiwan stock market index during the period 199912-2016, and the investment performances are examined via the holding horizons of one month, one quarter, half year, and one year. The main empirical results are as followed. (1) The returns of the portfolios with low bias ratio, price-net value ratio, and price-sale ratio, are consistently and significantly higher than their counterpart portfolios with high indicators, across the four investment horizons. However, the same results for the portfolios with low turnover ratio and VIX only apply at long holding periods. (2) The portfolios with high differential ratio of futures theoretical and market price outperform their counterpart portfolios with high indicators. The empirical results indicate that the mean-reverting of marketindicators prevails in Taiwan stock market. (3) The regression analyses show that bias ratio and price-sale ratio significantly and positively impact market returns, while over-sold of foreigner institutions, VIX, and price-net value ratio exert negative influences. Moreover, the measures of adj_R2 increase with the investment horizons, which in turn approves for the long-term performance of market timing strategies.
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