An Empirical Study of Technical Analysis in Taiwan Stock Market─Using KD, RSI,MACD ,DMI as Technical Indexes

• Main Authors: Sheng-Yuan Mou, 牟聖遠
• Other Authors: Chou Chao-Wei
• Format: Others
• Language: zh-TW
• Published: 2013
• Online Access: http://ndltd.ncl.edu.tw/handle/7sfffu

碩士 === 義守大學 === 資訊管理學系碩士在職專班 === 102 === In this study, four technical indicators: Stochastic Oscillator (KD), Relative Strength Index (RSI), Moving Average Convergence and Divergence (MACD) and Directional Movement Index (DMI) were used for the summary and analysis of the Taiwan stock market. With the four technical indicators as the basic indicators, fifteen different operating strategies were designed as the feasible judgments for making decisions when investing in the Taiwan stock market. This study, using Taiwan 50 ETF stocks as a sample, conducted empirical research based on seven years’ weekly K line data of Taiwan 50 ETF stocks.Empirical results are as follows: 1. The operating performances of all the fifteen operating strategies of technical analysis and the buy and hold stock strategy are positive. Using these fifteen operating strategies and the buy and hold stock strategy to invest in the stock market, all investors can make more profit than purchasing a 12-month certificate of deposit in a bank with the same amount of money. 2. Of the four basic technical indicators used to design the fifteen operating strategies: DMI and MACD performed best, followed by KD, and finally RSI. 3. As for the number of composite indicators, composite indexes of two and three indicators performed best. Too many composite indexes, however, cannot improve their operating performances. 4. Stock trading transactions is not equal to the operating performance of this study, the number of operating performance was negatively correlated with the transaction. 5. The operating performances of different industry categories: Traditional industry stocks > All unclassified stocks > Electronics stocks > Financial industry stocks. Traditional industry stocks are the best choice for investors. 6. The operating performances of the fifteen operating strategies of technical analysis are not significantly better than that of the buy and hold stock strategy. It shows that Taiwan stock market has characteristics of a weak market. Therefore, investors cannot take advantage of technical analysis to obtain excess profit. 7. In the case of Taiwan 50 ETF, eight of the fifteen operating strategies of technical analysis performed better than the buy and hold stock strategy. Investing in Taiwan 50 ETF can be profitable; nonetheless, it is not the most favorable choice for investment.