Which Time Period of Moving Average is Best for Taiwan Stock Market?

• Main Authors: Chih-I An, 安芷誼
• Other Authors: Jai-Ming Kung
• Format: Others
• Language: zh-TW
• Published: 2005
• Online Access: http://ndltd.ncl.edu.tw/handle/azb4gg

碩士 === 銘傳大學 === 國際企業學系碩士在職專班 === 93 === The Stock Market in Taiwan is suffered extreme change during this recent forty years. However, all investors expect to obtain the excess return from the Stock Market. How to gain the excess return when the Stock Market is affected by various factors, for example: instable political situation in Taiwan and slow economic growth in United States of America? Then, “Method” is the key point. Thus, I elect the Taiwan Stock Weighted Index, group indices and individual stock indices to be my object of study, and to be analyzing by single Moving Average with trading bands. The purposes of my research are as follows: 1. To find the best performing time period of Moving Average for Taiwan Stock Market. 2. To examine if the result is consistent during two equal section periods that is divided by the whole research period. 3. To research the performance of Moving Average for 200-day. The results are as follows: 1. The best time period of Moving Average is 3-day with trading band 0% during the whole research period. 2. The best time period of Moving Average is not consistent during the two equal section periods. But all they belong to short periods with trading band 0%. 3. The results show the investors can use Moving Average to increase investing performance in Taiwan Stock Market. 4. To apply Moving Average in Taiwan Stock Market is effective in part. So, it fits in with Weak Form Efficiency. 5. The performance for 200-day’s Moving Average is not the most representative as investment specialist, Joseph E. Granville, said when being applied in Taiwan Stock.