| Summary: | 碩士 === 國立臺北大學 === 企業管理學系 === 102 === The purpose of this study is to construct stock sentiment indexes based upon technical analysis indexes for the establishment of stock price forecasting model. The sample consists of construction sector index and 7 major firms from the sector. The daily data ranges from January, 2002 to December, 2012, a total of 2,737 observations, were collected. Seventeen technical indexes include 5K、5D、9MACD、12MACD、26MACD、DI、9EMA、26EMA、9DIF、12DIF、26DIF、5BIAS、10BIAS、5RSI、10RSI、15RS、30RSI were adopted. The principle factor analysis with orthogonal rotation procedure was executed for the eight stock series, and 3 factors were extracted from each series. Then regression analyses were performed. The results show that the 3 factors extracted from each series are highly consistent and demonstrated statistically significant impacts on stick returns, beside 1 factor - MACD extracted from two major firms are not demonstrated statistically significant impacts on stick returns. Thus, the procedure proposed by this study might be useful in explaining and forecasting stock returns.
|
|---|
