Empirical Study on the Effectiveness of Technical Analysis in Taiwan Stock Market

• Main Authors: Tsai, Bin-Shyn, 蔡斌仕
• Other Authors: Ho, Hsien-Chan
• Format: Others
• Language: zh-TW
• Published: 1995
• Online Access: http://ndltd.ncl.edu.tw/handle/84936847056331131714

碩士 === 國立臺灣大學 === 財務金融學系 === 83 === 　 The effectiveness of using technical analysis in stock market, as so far, is still doubtful. This study uses four methods of technical analysis, namely quadruple bottom, RSI divergence, %K divergence and %D divergence, in accordance with filter ratio to simulate the real situation of transaction. This study uses Taiwan Stock Exchange’s weighted index and the period of sampling is from Jan. 4, 1973 to Jan. 11,1995. The performances of the four methods are evaluated by average rates of return after deducting the 0.6%transaction cost ,and we examine whether the average rates of return is significantly greater than zero with significant level of 5%. 　　We conclude our empirical resultsas follows: 　　1.All the different combinations of the four methods, showed significant average returns which are above 38.7% per annum. 　　2.The frequency of transaction by the four methods is between 14 to 23times during our sampling period and the average holding period is between 1.5 and 3 months. This implies that it is suitable for investors to adopt longer holding period strategy. 　　3.The %K divergence is the best in the four methods, because its t value (average return over standard deviation) of 2.91 is the largest, and its transaction frequency of 23 times is the highest.