Implementing the Joe Granville Rules in the Taiwan Stock Market — Using the TAIEX and Taiwan Index Futures as Examples

• Main Authors: Sheng-chieh Lai, 賴聖傑
• Other Authors: Chang-Chiun Cheng
• Format: Others
• Language: zh-TW
• Published: 2008
• Online Access: http://ndltd.ncl.edu.tw/handle/yr6vnu

碩士 === 銘傳大學 === 財務金融學系碩士在職專班 === 96 === The Weak-Form Efficient Market Hypothesis says that investors are unable to earn excessive profits from analyzing historical prices and volume information. However, investors in Taiwan are accustomed to using moving averages, bias ratios and other technical analysis tools for making investment decisions. This paper employs the Joe Granville Rules, together with differently dated moving averages and bias ratio indexes to investigate the possibility of technical analysis being better than buy-and- hold strategy with no analyses when operating in Taiwan Index Futures. The empirical results indicate that, between 2001 and 2007, using Joe Granville Rules to operate in Taiwan Index Futures and the spot market indeed yields results better than the buy-and-hold strategy. The 20-day moving average is found to be optimal and not subject to the impact of transaction costs, market consolidation or shock. In addition, short- or long-day moving averages are, respectively, over- and under-sensitive to trends, which means that the performance is not as good as that from using 20- or 30-day moving averages. Finally, the inclusion of the bias ratio into the analysis models results in better investment performance for the short position significantly.