A Study of Grey Theory on Technical Analysis of Securities Market－An Example of the Dow Jones Industry Index’s Component Stocks

• Main Authors: HSU,JUI-LIN, 許瑞麟
• Other Authors: Chang,Kung-Hsiung
• Format: Others
• Language: zh-TW
• Published: 2008
• Online Access: http://ndltd.ncl.edu.tw/handle/38633145462490269312

碩士 === 國立屏東科技大學 === 企業管理系所 === 96 === The study takes the Dow Jones Industry index’s component stocks forexample. Such stocks price technical analysis indexes as KD、RSI、W%R、BIAS are used. The daily、weekly and monthly closing stock price fromJanuary 1997 to September 2007(after the weight is undone) are adopted asthe sample data. This study try to introduce GM(1,1) into the sample data toobtain the results pre & post the whitening treatment. An empirical result andperformance evaluation of t-test of average rate of return, it is found that : (1) The pre & post GM(1,1) treatment, performance of investment were all greater than the stock mark & no risk interest rate and to obtain higher spill rewards of no risk. (2) The pre & post GM(1,1) treatment, performance of investment were all less than buy-in & hold strategy ,so can’t using buy & sell of operating to obtain extra profit. (3) The post-GM(1,1) treatment ,according to evaluation & analysis, can’t buy & sell of operating to obtain extra profit ,but obvious found : The performance of investment of post-GM(1,1) treatment were more than pre-GM(1,1) treatment and the investors can use the technical indexes of post-GM(1,1) treatment and obtain more higher invest returns. (4) For above discuss & found : The performance of investment pre & post treatment unable to deny strongly the stock market of U.S.A. to fit in with the weak-form efficiency market ,but the technical index post-GM(1,1) treatment can obtain more higher performance of investment than pre-GM(1,1) treatment of technical index. Key words: GM(1,1), Efficient Market Hypothesis, The Dow Jones Industry Index, Technical Analysis Index (KD、RSI、W%R、BIAS.