The Performance of Day Trading by Using Counter Daily Potential Index: Evidence of Taiwan Stock Market

• Main Authors: Huang,Yi-Ling, 黃羿菱
• Other Authors: Chou,Jian-Hsin
• Format: Others
• Language: zh-TW
• Published: 2018
• Online Access: http://ndltd.ncl.edu.tw/handle/sh6whh

碩士 === 國立高雄第一科技大學 === 財務管理系碩士班 === 106 === This research uses the intraday stock price data from 2018/1/19 to 2018/4/17 to test whether the CDP Index can profit in day trading. In our research design, not only the day trading period, another two holding periods including next-day trading and short-term trading are also used to test their investment performance based on the CDP Index. The empirical results show that, all the investment performance is negative when CDP is used to construct our nine investment portfolios. This result indicates that it can not profit by using the CDP index for the day- trading investment strategy during the observation period of this study. However, if we limit our observation period to stock market correction period, then the performance of short-term trading is positive when we use the 10 highest trading volumes stocks, which are the component stocks of Taiwan 50 index.