Optimal Investment Holding Periods-The Taiwan Stock Exchange Capitalization Weighted Stock Index from 1997 to 2006

• Main Authors: I-Fang Ho, 何宜芳
• Other Authors: Chia Chao-Nan
• Format: Others
• Language: zh-TW
• Published: 2007
• Online Access: http://ndltd.ncl.edu.tw/handle/72442039311216340562

碩士 === 淡江大學 === 國際貿易學系國際企業學碩士在職專班 === 95 === Five stock indexes by Taiwan Stock Exchange Corp. from 1997 to 2006 are the targets in this research. With different holding periods, return of investment and frequency of positive returns for stocks are simulated and analyzed in order to find out optimal holding period. In the result, the optimal holding period in the time horizon(1997~2006) is 2 to 3 months, however, the optimal holding periods for ascending and descending time slots is 10 to 12 months exclusively. Moreover, different optimal periods for different group indexes of finance, electric machinery and food are seen in the research.