| Summary: | 碩士 === 國立雲林科技大學 === 財務金融系 === 106 === In this study, we use FCVAR（fractionally cointegrated vector autoregressive） to forecast the high prices and low prices. The study sample is 45 of the Taiwan 50 constituent stocks in TWSE from 2000 to 2017. The empirical result show that the highest and lowest prices of stocks can be predicted. The study found that it is possible to find the buying and selling point by using the highest and lowest prices. When the buying signal appears, the opening price of the next day is used, and after the selling signal appears, the closing price of the next day is used. The study found that this method can get positive return. The buy-and-hold strategy was buy on the first day, and sold until the last trading day. It was found that the method had a better return than the moving average on the most stocks.
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