The Effect of Information Disclosure on the Profitability of Technical Analysis
碩士 === 東海大學 === 財務金融學系 === 101 === This study adopts the information disclosure and transparency rankings system that was announced by the Securities and Futures Institute. The evaluation results of the information disclosure and transparency rankings system were used as a proxy variable of the fi...
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| Format: | Others |
| Language: | zh-TW |
| Published: |
2013
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| Online Access: | http://ndltd.ncl.edu.tw/handle/95636326461052612086 |
| Summary: | 碩士 === 東海大學 === 財務金融學系 === 101 === This study adopts the information disclosure and transparency rankings system that was announced by the Securities and Futures Institute. The evaluation results of the information disclosure and transparency rankings system were used as a proxy variable of the firm information transparency. Prior studies of information transparency are relevant to ownership structure or stock returns. The purpose of this study is to examine whether the firm information transparency could have an effect on the profitability of technical analysis. Unlike previous studies on the profitability of technical analysis which mostly adopt the market index as the main subject of the sample. We use the sample of all firms listed on the Taiwan Stock Exchange from the period of 2007 to 2012. According to the evaluation results of the information disclosure and transparency rankings system in the previous financial year, all firms listed are divided into five groups.
The empirical results show that : (1) On the whole, the trading strategy for getting abnormal returns can be implemented by using technical analysis in long-term. The returns of moving average rules can outperform the buy-and-hold strategy. Our findings provide support for the predictive power of technical trading rules. (2) Firms that have higher rankings of information transparency can achieve significant abnormal returns by using technical analysis. It concludes that technical trading rules can outperform the buy-and-hold strategy; however, firms that have lower rankings of information transparency cannot achieve significant abnormal returns by using technical analysis. Inferior investment performances are realizable when adopting moving average trading rules as referrals.
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