A Study of Investment Performance and Holding Periods of Taiwan Stock Index

• Main Authors: Wei-Yang Wang, 王緯揚
• Other Authors: Chao-Hsin Lin
• Format: Others
• Language: zh-TW
• Published: 2008
• Online Access: http://ndltd.ncl.edu.tw/handle/rrvmd8

碩士 === 國立高雄第一科技大學 === 風險管理與保險所 === 96 === This study explored the relationship between investment performance and holding periods. The study samples are Taiwan Stock Index from Jan, 2 to Dec, 31 2007. The study targets on the decision system concluded by the operation of technical analysis and the innovative trading strategy, and that is in order to earn excess returns in different transaction timing. Moreover, the study applies technical diagram to forecast market movement. The results revealed that investors could earn the highest return which is according to the indicator of Moving Average Convergence and Divergence (MACD). In addition, the return will increase if the periods of measurement could be extended towards indicators of Moving average (MA) and Relative Strength Index (RSI). However, the returns in terms of innovative trading strategy are negative if we link up Youth rule with Hectometre strategy. It means that the combination strategy should link up other indicators, and that could achieve the objective of constructive investment. In respect to the researching of Old Man rule and Marathon strategy, the average return rate is up to 9% which means that both of the strategies agree with moderate investments. Furthermore, we could get better results if sample periods are extended and timing of indicators is adjusted.