Testing the Investment Efficiency of Taiwan 50ETF by MACD and SAR

• Main Authors: Mao-Lin Chang, 張茂林
• Other Authors: none
• Format: Others
• Language: zh-TW
• Published: 2010
• Online Access: http://ndltd.ncl.edu.tw/handle/71951534200011894137

碩士 === 逢甲大學 === 經營管理碩士在職專班 === 98 === This Paper uses the TSEC Taiwan 50 Index daily data from 2004 to 2009 to examine the profitability of technical trading rules by evaluating their ability to outperform the buy-and-hold trading strategy and examine the market efficiency hypothesis. MACD combined SAR technical trading indicators were used in this paper. The results are briefly listed as followed: (1) Without the trading costs consideration, the MACD combined SAR index is able to outperform the buy-and-hold trading strategy. (2) With the trading costs consideration, the MACD combined SAR index is unable to outperform the buy-and-hold trading strategy. Therefore, our results show that Taiwan''s stock market with the weak form of efficiency, and supported the efficient market hypothesis .