| Summary: | 碩士 === 銘傳大學 === 風險管理與保險學系碩士班 === 106 === In the context of global financial liberalization, the invention of diversified commodities provides new investment options for the general public. ETFs are flexible investments that offer investors the opportunity to earn market returns and are increasingly popular in the capital markets. In this study, we care about the closing index of two ETFs crops in Borsa, Italiana. We used VaR values and technical indicators. The study period is from April 10, 2007 to April 10, 2016, and is based on daily data. The method of this study is by using Historical Simulation Method to estimate VaR values and adding MA, KD and MACD indicators to construct suitability trading rules. The statistical package R-Studio is used for research. Finally, we will analyze the research results and make the trading strategy better. The expected results of this study will find the VaR values of the ETF and the sensitivity of the trading signals of different technical indicators and the best trading strategies.
According to the results of the study, the production period of crop is an important imformation for moving windows of the VaR values. In the comparison of single index, 9KD has good performance for ETFs coffee and ETFs corn. VaR values is the best index for corn ETF. MA and MACD are not the profitable single index. In the combination of the single technical index and VaR values, the 9KD is the best index of ETFs coffee. However, MA is the highest index of ETFs corn. Overall, for the both ETFs, the combination of the single technical indicator and VaR values is superior to the combination of multiple technical indicators and VaR values.
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