The Effects of Trading Volume on the Profitability of Moving Average Rules

• Main Authors: Chung, Chia-Chin, 鍾家慶
• Other Authors: Chang, Yung-Ho
• Format: Others
• Language: zh-TW
• Published: 2012
• Online Access: http://ndltd.ncl.edu.tw/handle/39766294572340194251

碩士 === 東海大學 === 財務金融學系 === 100 === In this paper, we mainly investigate whether companies with low trading volume imply the fact that having a serious problem of information asymmetry so that investors can't earn higher return by adopting moving average rules rather than buy-and-hold strategy in Taiwan stock market. Our empirical results show that companies with bigger trading volume have significantly higher return among all the three trading strategies, while the best performance of trading strategy is 100 days moving average rules. As for the industrial segment, empirical results show that the best performance for electronic ones and traditional ones is 100 days moving average rules. Finally, we adopt Hansen (2005) Superior Predictive Ability to test the best realistic predictive rule, and we find among the companies with middle and low trading volume, whose best predictive trading rules are 150 days moving average rules；the biggest trading volume ones, whose best predictive trading rules are 100 days moving average rules. Moreover, regardless of the trading volume level, best predictive trading rules for electronic ones are 50 days moving average rules. For the traditional ones, their best predictive trading rules are 150 days moving average rules, but the biggest trading volume group whose best predictive trading rules is 100 days moving average rules.