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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Bibliographic Details
Main Authors:	Ying-Ting Chen, 陳映廷
Other Authors:	Doong S.-Chyi
Format:	Others
Language:	zh-TW
Published:	2007
Online Access:	http://ndltd.ncl.edu.tw/handle/88409020488363078665

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spelling	ndltd-TW-095NCHU53040312015-10-13T14:13:11Z http://ndltd.ncl.edu.tw/handle/88409020488363078665 Can Filter Rules and Bias achieve excess return？－Empirical studies of Taiwan 50 index fund 濾嘴法則與乖離率是否可以獲取超額報酬？－以台灣50指數型基金為例 Ying-Ting Chen 陳映廷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. Doong S.-Chyi 董澍琦 2007 學位論文 ; thesis 53 zh-TW
collection	NDLTD
language	zh-TW
format	Others
sources	NDLTD
description	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.
author2	Doong S.-Chyi
author_facet	Doong S.-Chyi Ying-Ting Chen 陳映廷
author	Ying-Ting Chen 陳映廷
spellingShingle	Ying-Ting Chen 陳映廷 Can Filter Rules and Bias achieve excess return？－Empirical studies of Taiwan 50 index fund
author_sort	Ying-Ting Chen
title	Can Filter Rules and Bias achieve excess return？－Empirical studies of Taiwan 50 index fund
title_short	Can Filter Rules and Bias achieve excess return？－Empirical studies of Taiwan 50 index fund
title_full	Can Filter Rules and Bias achieve excess return？－Empirical studies of Taiwan 50 index fund
title_fullStr	Can Filter Rules and Bias achieve excess return？－Empirical studies of Taiwan 50 index fund
title_full_unstemmed	Can Filter Rules and Bias achieve excess return？－Empirical studies of Taiwan 50 index fund
title_sort	can filter rules and bias achieve excess return？－empirical studies of taiwan 50 index fund
publishDate	2007
url	http://ndltd.ncl.edu.tw/handle/88409020488363078665
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Can Filter Rules and Bias achieve excess return？－Empirical studies of Taiwan 50 index fund

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