The Efficiency Analysis of Trading Program under Taiwan Stock Index Futures

• Main Authors: Wei- Tsung Lu, 呂威宗
• Other Authors: Chun-Chou Wu
• Format: Others
• Language: zh-TW
• Published: 2010
• Online Access: http://ndltd.ncl.edu.tw/handle/36888685836669231869

碩士 === 國立高雄第一科技大學 === 財務管理所 === 98 === This study utilizes the technical analysis, which combined with program trading system software, to examine the four commonly used technical indicators of TAIEX Futures time-trend system (intraday trading), and to observe if the indicators have excess return. In another word, it examines whether Taiwan Futures market is the weak form market. In addition, we combine the multiple technical indicators, and then divide all that into two groups. After that, this paper verifies whether the Taiwan stock futures market has weak-type efficiency. In order to examine whether the TAIEX Futures market has weak form efficiency, this study also considered if market trends affect the operating performance of two different technical indicators, with different periods in the bull market and bear market. The sample period of this study contain 1,760 TAIEX Futures business days (from September 28 2001 to October 31 2008). We utilize four single indexes, two own trading strategies and market trends to examine the bull and bear market condition separately. The empirical results are as follows: 1.The full sample period of this study, including the bull and bear trend, the use of single index alone are unable to be trading. And it has a significant profit in the long run. That implies TAIEX Futures markets are weak form efficient. 2.The full sample period, the bull trend, short movements, this study will be set up by two technical indicators strategies. The results suggest that the use of technology in non GAAP operating strategy have a significant profit. The empirical result implies TAIEX Futures market does not reflect weak form efficient. 3. Technical indicators in long-term and short-term period of operation have the significant difference performance. Thus TAIEX Futures market may not be efficiency in the short-term period.