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|Title: ||Stochastic oscillator indicators employed in capital markets|
|Other Titles: ||SOI交易指標在資本市場之應用|
|Authors: ||廖怡晴;Liao, Yi-Ching|
|Keywords: ||反向策略;動能策略;過度反應;隨機指標;Contrarian Strategy;Momentum Strategy;overreactions;stochastic oscillator indicators|
|Issue Date: ||2017-08-24 23:39:20 (UTC+8)|
Most of market participants earn profits through the use of the technical analysis for trading stocks. In addition, individual investors often decide the trading timing in accordance with the trading signals emitted by technical indicators. Even though technical analysis are wildly employed in the real world; however, the technical analysis issues investigated seem to be limited in the academic aspects. Therefore, we endeavor to explore more valuable information retrieved from SOI trading rules due to these trading rules closely related with the wisdom proposed by the overreaction hypothesis. In this thesis, we incorporate two essays related to SOI trading rules in order to retrieve more valuable information in term of SOI deliberately.
Essay one employ the SOI trading rules for investigating whether investors are able to make profits for the constituent stocks of three representative indices including the DJ 30, FASE 100, and SSE 50. The results reveal that investors may benefit from the use of the contrarian strategy as oversold trading signals are emitted for constituent stocks of FTSE 100 in the short-run holding period, which is consistent with the overreaction hypothesis. In contrast, we show that the momentum strategy would be more appropriate when trading constituent stocks of SSE 50 as overbought signals emitted, especially for the long-run holding period.
In essay two, although we argue that the SOI staying in overreaction zones for consecutive days likely resulting in chasing stock price higher (lower) often appeared in the real world, this issue, to the best of our knowledge, seems unexplored in the existing literature. Results show that momentum strategies are appropriate for holding these stocks in the long run as the SOI staying in overbought zones, whereas contrarian strategies are more proper for holding these stocks in the short run as the SOI staying in oversold zones. The results may benefit for investors to trade these stocks as the SOI staying in overreaction zones for consecutive days.
In sum, we argue that the issues in term of technical analysis are worthwhile for investigation, since the information in term of technical analysis might not be appeared in the financial channels, magazines and websites if technical analysis does not matter in the real world.
|Appears in Collections:||[Department of Management Sciences] Thesis|
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