Adopting the Technical Analysis of Moving Average to Build the Investment Strategy –The Case of FTSE TWSE Taiwan 50 Index

• Main Authors: Shi-chang Chen, 陳錫彰
• Other Authors: Chung-Cheng Lee
• Format: Others
• Language: zh-TW
• Published: 2013
• Online Access: http://ndltd.ncl.edu.tw/handle/61736415808651502600

碩士 === 朝陽科技大學 === 企業管理系碩士班 === 101 === This study adopt the technical analysis method of “Moving Average” to develop the criteria as the investment decision-making approach to identify the “Gap” as the buying in or selling out opportunities in the Taiwan Stock Market. In this research, the time horizon for our empirical study was from Jan. 20th, 2008 to Dec. 28th, 2012 of the daily data of Taiwan 50 Index ETF, follow the investment criteria from our research results, there were 7 times to buy in and then to sell out the ETF. The returns of each to buy in and then to sell out the ETF were 17.09%, 83.31%, 30.26%, 3.30%, 15.70%, 12.88%, and 6.90%, respectively. As the cumulative return from our approach was 20.49% in this time horizon. However, we assumed to adopt the buy and hold strategy with the time horizon to invest the Taiwan 50 Index ETF, the return was -7.49%. Obviously, our investment decision-making approach might achieve a better return than Taiwan stock market portfolio. Thus, we suggest using the moving average of technical analysis method to identify “gap” as the investment decision-analysis approach might provide some useful information content to the investors.