Abnormal Returns and Trading Performance of Bollinger Bands- Evidence from the Taiwan Stock Markets

• Main Authors: HUNG, LI-FANG, 洪麗芳
• Other Authors: KUO, I-DOUN
• Format: Others
• Language: zh-TW
• Published: 2018
• Online Access: http://ndltd.ncl.edu.tw/handle/9u72qt

碩士 === 東海大學 === 高階經營管理碩士在職專班 === 106 === 　　This study investigates trading performance of technical indicator of Bollinger Bands by trading Taiwan stocks from the period between 1 Jan 2016 and 31 Jan 2018. In total, there are 264,894 observations where there are 11,662 observations breaking upper bound of Bollinger Bands and 7,999 observations breaking the lower bound of Bollinger Bands. 　　This study found that complex trading strategy does not produce good perforance whereas the simple trading strategy seems performing better. Thie work also found that the standard deviation of stock returns has an impact on trading performance. Our trading strategies are separated with an increase, decrease, or no change in standard deviation of stocks returns. Trading performance is also evaluated according different holding periods. Additionally, we investigate the trading performance when there is a stop-loss system. 　　The trading strategy relating to upper bound of Bollinger Bands and high standard deviation performs better. Particularly, the Bollinger Bands with the standard deviaiton of returns falls between 0.5 and 0.8 yielding the best performance. However, this study found that the trading strategy with stop-loss system does not meet the expected returns.