The research on weak-form efficiency of TAIEX futures market – proofed by three technical indicators: MACD, KD, and RSI
| Autor: | LIN, CHUNG-KUANG, 林重光 |
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| Rok vydání: | 2007 |
| Druh dokumentu: | 學位論文 ; thesis |
| Popis: | 95 In this paper, we utilized three different indicators, MACD, KD and RSI, to examine if investors could earn significant positive returns from TAIEX futures market, i.e. if TAIEX futures market fit with weak-formed market hypothesis. We also implemented stop loss mechanism on this research. Using three indicators and three stop-loss mechanisms on daily TAIEX futures price over the period Sep 7, 1998, through Dec 29, 2006, we find that A) By adopting normal strategies without transaction costs, we could not get significantly positive return at TAIEX market except RSI indicator. It indicated that some specific indicators might have significantly positive return upon TAIEX market in the absence of transaction cost. B) By adopting normal strategies with transaction costs, we could not get significantly positive return at TAIEX market between three indicators. It pointed that TAIEX market might fit with weak-formed market hypothesis in the long term. C) By adopting stop loss mechanisms strategies with transaction costs, we found that RSI indicator together with 1% and 5% stop loss mechanisms could earn significantly positive return which was also better than what the other two indicators together with stop loss mechanisms could earn. It meant that when using specific indicators with stop loss mechanisms, TAIEX market might not fit with weak-formed market hypothesis in the short term. |
| Databáze: | Networked Digital Library of Theses & Dissertations |
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