An Empirical Study of Applying Technical Indicators In Improving Investment Performance of Taiwan 50 Index Constituents

• Main Authors: Yen-Liang Liu, 劉彥良
• Other Authors: Ai-Chi Hsu
• Format: Others
• Language: zh-TW
• Published: 2012
• Online Access: http://ndltd.ncl.edu.tw/handle/17565503531558872591

碩士 === 國立雲林科技大學 === 財務金融系碩士班 === 100 === Many investors claim to use technical trading rules capable of "beating the market".The price-volume relationship is often used as an important indicator of investment decision making for the investors.We using eight price and volume of technical index, such as Average、KD、MACD、DMI、VAMA、MQ、EOM and OBV. Respectively, of single technical indicators and composite index.Further consider the three corporate bodies (foreign investor, Investment Trust and securities dealers) Respectively, to assess the investment performance and profit percentage.The sample period used in this research include 2006/01/02 to 2012/03/16, total of 6 years 3 month, which includes bulls, bears, and flat periods.The results show that a single index of poor investment performance of Taiwan''s 50 constituent stocks. The study results show that a single technical index has lower investment performance in Taiwan''s 50 constituent stocks .To simulate the composite index to invest in Taiwan 50, the MACD-VAMA and MACD-MQ index created high return were as high as 89.48% and 75.16% of the investment performance in six years.Further consider the three corporate bodies (foreign investor, investment Trust and securities dealers), will improve the traditional simple volume-based technical index.Overall, the MACD-MQ index(Trading Volume) and the MACD-VAMA index(securities dealers) and the MACD-VAMA index (securities dealers) has a stable and equity premium The research results have reference value for the market investors.