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| Content Provider | IEEE Xplore Digital Library |
|---|---|
| Author | Chang, A.K. KuoLiang Lu |
| Copyright Year | 2007 |
| Description | Author affiliation: Nat. Pingtung Univ. of Sci. & Technol., Pingtung (Chang, A.K.) |
| Abstract | Using the daily, weekly and monthly data of Morgan Stanley Taiwan index' component stocks from January 1998 to June 2004 as example, this paper try to improve the investment performance of technical analysis indices. First of all, this paper whitens original data through a grey model GM (1,1), and grey technical analysis indices are obtained. We use traditional technical analysis indices like RSI, BIAS, KD as agency indices, compare the investment performance between original and grey technical analysis indices. Based on the empirical result using frequency statistics and Sharpe and Treynor index, we find: 1. The investment performance using the original technical indices is better than that of the Taiwan stocks market weighed average index. 2. The portfolio investment performance using grey technical analysis strategy is better than that of buy-and-hold strategy and using traditional technical analysis strategy by Sharpe and Treynor index separately. 3. The investment performance of technical indices can be increased more effectively through a grey forecasting model GM (1,1). The investment performance of original technical analysis indices strategy increases significantly after using the grey technical analysis indices. The annually performance as geometric mean increases 278.5%. The weak-form market hypothesis in Taiwan stocks market could be rejected under some fact. |
| Starting Page | 1422 |
| Ending Page | 1425 |
| File Size | 641418 |
| Page Count | 4 |
| File Format | |
| ISBN | 9781424412938 |
| DOI | 10.1109/GSIS.2007.4443507 |
| Language | English |
| Publisher | Institute of Electrical and Electronics Engineers, Inc. (IEEE) |
| Publisher Date | 2007-11-18 |
| Publisher Place | China |
| Access Restriction | Subscribed |
| Rights Holder | Institute of Electrical and Electronics Engineers, Inc. (IEEE) |
| Subject Keyword | Reactive power Investments Finance Predictive models Economic forecasting Frequency Performance analysis Security Stock markets Intelligent systems |
| Content Type | Text |
| Resource Type | Article |
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