Can Filter Rules and Bias achieve excess return？－Empirical studies of Taiwan 50 index fund
碩士 === 中興大學 === 財務金融系所 === 95 === The purpose of this research is to find out whether technical analysis achieves excess return and test the existence of weak-form efficiency in Taiwan stock market. This research upon Taiwan 50 Index Fund consists two technical analysis: Filter Rules and Bias. The r...
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| Format: | Others |
| Language: | zh-TW |
| Published: |
2007
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| Online Access: | http://ndltd.ncl.edu.tw/handle/88409020488363078665 |
| Summary: | 碩士 === 中興大學 === 財務金融系所 === 95 === The purpose of this research is to find out whether technical analysis achieves excess return and test the existence of weak-form efficiency in Taiwan stock market. This research upon Taiwan 50 Index Fund consists two technical analysis: Filter Rules and Bias.
The result shows that there are some technical trading strategies which over-perform the Buy-and-Hold strategy. After running the comparison between T-Test from technical trading strategies and the Taiwan Weighted Average Index, technical trading strategies are preferred although the result of statistical T-Test is not significant. In some circumstances, the result also shows that technical trading strategies generate higher return than Buy-and-Hold strategy.
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