Can Program Trading Create Values for Investors? Evidence from TSEC Taiwan 50 Index Constituents

• Main Authors: Yi-Ying Lee, 李宜穎
• Other Authors: Eliza Wang
• Format: Others
• Language: zh-TW
• Published: 2011
• Online Access: http://ndltd.ncl.edu.tw/handle/01406835020934181448

碩士 === 國立臺北商業技術學院 === 財務金融研究所 === 99 === This study examines the performance of technical trading strategies selected using the sample of TSEC Taiwan 50 Index constituents. Specifically, we develiop eight trading strategies by combining candlestick rules and four common technical indicators and examine the effectiveness of these strategies by using the HTS software. In addition, in order to do more robust check, this study categorizes the total sample into groups based on various criteria, such as time period, trading cost, industry, price-earnings ratio and firm size. The results show no evidence of excess returns to the trading rules when transaction costs are taken into account, consistent with market efficiency. However, we find that in the sample of year 2008, technical trading strategies did outperform the passive buy and hold strategy significantly, providing evidence that financial crisis may lower the efficiency in the market. Finally, this study offers some suggestions to the future research.