Select Operation Alternatives of the KD Method to Security Market Stock

• Main Authors: Chih-Kang Chen, 陳志剛
• Other Authors: Fuh-Hwa F. Liu
• Format: Others
• Language: en_US
• Published: 2005
• Online Access: http://ndltd.ncl.edu.tw/handle/00147994157464116751

碩士 === 國立交通大學 === 管理學院碩士在職專班工業工程與管理組 === 93 === It is popular for people to invest in stocks even though it may have high return and high risk respect to bonds and deposit. Individuals often lose money in stock investment since they tend to focus on high return, but ignore the high risk and cost behind the investment. In the stock market, individuals and portfolio managers employ variety analysis techniques to decide buying/selling for short-term investment. The Stochastic Oscillator (KD) is one of the popular analysis techniques. We use the past 991 days’ (or 206 weeks’) opening, closing, the highest, and the lowest prices of five major stocks in Taiwan to generate six types KD curves that are based upon different moving average time intervals. In this research, we consider three selling/buying strategies. We assess the performance of the eighteen operation methods (OMs), the compositions of six KD curves and three strategies, by Data Envelopment Analysis (DEA). Three indices are used: transaction cost, return rate variance, and total return rate. We observed one of the proposed strategies outperforms the others. Depends on the market characteristics of a stock, a particular OM may outperform the others. One would observe the interaction effects between time intervals for generating the KD curves and the selling/buying strategies.