The effect of Taiwan transaction tax reduction on the performance of K-line Technical Trading Strategy

• Main Authors: CHI,YI-CHAN, 紀依嬋
• Other Authors: LIN,YUE-JIAO
• Format: Others
• Language: zh-TW
• Published: 2019
• Online Access: http://ndltd.ncl.edu.tw/handle/5n94hw

碩士 === 國立中正大學 === 會計與資訊碩士在職專班 === 107 === 　　　Technical-analysis based trading strategy has been widely used for years. The main rationale for this trading strategy is that investors believe that some important fundamental information which has not been disclosed can be detected immediately through technical indicators. Since technical analysis has its trustworthiness and furthermore, extremely short-term trading operation (such as day trading) requires no fundamental-based analysis, so extremely short-term trading operation mostly relies on technical analysis to achieve performance. 　　　The main purpose of this study is to explore profitable short-term technical-analysis base trading strategy during the one-year period before and after the recent regulatory reduction of transaction tax for day trading. Our motivation is that the transaction taxes reduction will make the technical trading strategy more effective due to more participation of noise traders. The five-minute K line is combined with the main technical indicators to form a very short-term trading period. This study uses Taiwan's weighted stock price index futures (TX) as the main research subject, and sets a very short-term trading strategy established by the five-minute line within one year before and after the implementation of the policy. 　　　The study found that all three 5MA trading strategies (based on 0.5%, 2.0%, and 3.0% threshholds, respectively) show performance improvement after the reduction of transaction taxes was introduced in April 2017. The 5MA trading strategy based on 1% threshhold also yields positive performance before and after the reduction of transaction taxes, but the performance is worse after the transaction taxes reduction.