Stock Return Risk, Censoring and the Effectiveness of Technical Indicators

• Main Authors: Cheng-Peng Chang, 張正鵬
• Other Authors: Po-Chin Wu
• Format: Others
• Language: zh-TW
• Published: 2002
• Online Access: http://ndltd.ncl.edu.tw/handle/54116994014645616536

碩士 === 國立高雄第一科技大學 === 金融營運所 === 90 === ABSTRACT 英文摘要 This thesis primary discusses the performance of technical indicator by way of simulation stock transaction, and tries to find out which technical indicators to gain the maximum profit.This study that based on Bollerslev (1986) developed a new time series model called Gerneral Autoregressive Conditional Heteroscedasticity (GARCH), and in order to estimate the risk of the stock return , we use GARCH(1，1) model. By price return risk and censoring degree , they are divided into three attributes: high , medium and low. The research consequence are concluded as following : 1.ARCH and GARCH effect of stock price volatility is significant in Taiwan stock market. 2.The degree of the censoring of the stocks feature is on different proportion to its risk. 3.The lower the market value of our sample is , the lower censoring and greater trading volume are. 4.The higher the market value is , the lower the stock return risk is , and the lower the stock return risk is, the higher the rate of the censoring is. 5.The group of the high risk stocks is more suitable for medium or long run technical indicators to judge the point of transaction , and MACD is more useful than KD ; and the weekly MACD is applied to the group of the medium risk ones ; the daily MACD is applied to the group of the medium risk ones. 6.The group of the low rate censoring is better judged transaction point by medium or long run technical indicators ; it is better to be applied to weekly KD for the group of the medium ones ; as to the group of the high ones , it is applied to daily MACD. 7.It is more effective to judge the point of the transaction by mix technical indicators (long , medium and short run) than by daily technical indicator.