本論文從三個層面進行實證研究，第一個層面是實證檢定是否台灣股市的技術指標具有預測能力。第二個層面是若台灣股市的技術指標具有預測能力，本文研究哪一個技術指標或那些技術指標的組合可以加以運用。第三個層面則是在考量交易成本與風險之下，若技術指標具有預測能力，則本文將架構出技術指標交易策略的績效以打敗買入持有策略的績效。本文以五種技術指標架構交易策略，並以台灣股市10支大型權值股建立投資組合，以技術指標決定買賣訊號形成交易策略。本文實證結果，技術指標所架構的交易策略具有強烈預測能力，技術指標所構建投資組合與買入持有策略所構建投資組合均能打敗大盤績效。本文也運用Sharpe index, Treynor index 與Jensen alpha績效指標評估台灣50、中型100與上證50投資組合之買入後持有交易策略，實證結果發現台灣50、台灣50的績效優於上證50。本文也運用paired sample t-test 檢定台灣50 對中型100、台灣50 對上證50、中型100 對上證50等投資組合的穩健性，實證結果顯示具有強烈穩健性。本文最後使用runs test檢定所有樣本的隨機性，實證結果發現日資料與周資料樣本均有隨機性，意涵台北股市與中國上證股市均為弱勢效率市場。

The article aims at three folds. First, we examine whether or not these technical trading rules have predictive power for Taiwan and China stock markets. Second, if technical trading rules show predictive power, we study which of the technical indicators or their combinations should be applied. Finally, if technical trading rules demonstrate predictive power, can we construct a trading strategy based on the rules to outperform the buy-and-hold strategy when considering transaction costs and risks? In our empirical study, we apply 5 technical indicators to create trading strategies, select 10 of the biggest weighted stocks to establish portfolios and employ technical indicators to decide buy and sell signals to form trading rules. Overall our empirical findings provide strong support for the predictive power of technical trading rules and the technical-indicator based portfolio and buy-and-hold portfolio can beat the market. We also apply the Sharpe index, Treynor index and Jensen alpha to evaluate the performances of buy-and-hold strategy based on the portfolios of Taiwan 50, Taiwan Mid-cap 100 and SSE 50. The empirical results are very easy to distinguish the performances of Taiwan 50 and Taiwan Mid-cap 100 are better than SSE 50. We use paired sample t-test to test the performances of portfolios of Taiwan 50 vs. Taiwan Mid-cap 100, Taiwan 50 vs. SSE 50, Taiwan Mid-cap 100 vs. SSE 50 and the empirical results of the performances of technical indicators are robustness. Finally, we use the runs test to test the randomness of samples of Taiwan 50, Taiwan Mid-cap 100 and SSE 50 by daily data and weekly data and the empirical findings are randomness and we considered the weak-form efficient market exists in the Taipei and China stock markets.

CONTENTS
CHAPTER 1  INTRODUCTION AND MOTIVATION.........................................1
1.1 Introduction and Motivation.................................................................................1
1.2 Purpose.................................................................................................................3
1.3 Framework...........................................................................................................4
CHAPTER 2  LITERATURE REVIEW..................................................................5
CHAPTER 3  DATA AND METHODOLOGY ……………..………...….……..11
3.1 Data....................................................................................................................11
3.2 Technical Trading Rule.......................................................................................12
CHAPTER 4  	EMPIRICAL FLOWS AND STRUCTURE.……….……………23
  4.1 Construct the Portfolio.......................................................................................23
4.2 Result Analysis...................................................................................................27
   4.2.1 Performance of the Taiwan top 50 portfolio……………………………..28
   4.2.2 Performance of the Taiwan t mid-cap 100 portfolio…………………….30
   4.2.3 Performance of the SSE top 50 portfolio………………………………..32
4.3 Comparison of Performance...............................................................................34
CHAPTER 5  ROBUST TEST................................................................................37
5.1 Theory.................................................................................................................37
5.2 Paired Sample t-test............................................................................................38
5.3 Runs test.............................................................................................................40
CHAPTER 6  CONCLUSIONS AND REMARKS...............................................42
6.1 Conclusions........................................................................................................42
6.2 Remarks..............................................................................................................44
APPENDIX………………………………………………………………………….45
REFERENCE.............................................................................................................73 
 
LIST OF TABLES
Table 1-1 Data source and description(Taiwan 50)....................................................11
Table 1-2 Data source and description(Taiwan Mid-cap 100)....................................11
Table 1-3 Data source and description (SSE).............................................................12
Table 2 The optimal portfolio’s risk and Return.........................................................23
Table 3 The optimal portfolio’s weight of Top 10 stocks of Taiwan 50......................23
Table 4 Summary Statistics of daily Returns for Taiwan 50 (Daily Data)…………..24
Table 5 The optimal portfolio’s risk and Return..........................................................24
Table 6 The optimal portfolio’s weight of Top 10 stocks of Taiwan Mid-cap 100......24
Table 7 Summary Statistics of daily Returns for Taiwan Mid-Cap100 (Daily Data)..25
Table 8 The optimal portfolio’s risk and Return..........................................................26
Table 9 The optimal portfolio’s weight of Top 10 stocks of SSE................................26
Table 10 Summary Statistics of daily Returns for SSE 50 (Daily Data)…………….27
Table 20-1 B&H_Monthly Performance_ data............................................................34
Table 20-2 B&H_Seasonal Performance_ data...........................................................34
Table 20-3 B&H_Half Year Performance_ data..........................................................35
Table 21-1 B&H_Monthly Performance_ data...........................................................35
Table 21-2 B&H_Seasonal Performance_ data...........................................................36
Table 21-3 Comparison of half Year Performance_Weekly data.................................36
Table 22-1 Taiwan 50 vs. Taiwan Mid-cap 100...........................................................38
Table 22-2 Taiwan 50 vs. SSE 50................................................................................38
Table 22-3 Taiwan Mid-cap100 vs. SSE 50................................................................39
Table 22-4 Daily data vs. Weekly data........................................................................39
Table 23-1 Runs Test Results(Taiwan 50)...................................................................40
Table 23-2 Runs Test Results(Taiwan Mid-cap 100)...................................................40
Table 23-3 Runs Test Results(SSE 50)........................................................................41
Table 11-1 B&H Monthly Performance(Daily data, Taiwan 50)................................45
Table 11-2 B&H Seasonal Performance(Daily data, Taiwan 50).................................47
Table 11-3 B&H Half Year Performance (Daily data, Taiwan 50)……………….......48
Table 12-1 B&H Monthly Performance(Weekly data, Taiwan 50)………..…………48
Table 12-2 B&H Seasonal Performance(Weekly data, Taiwan 50)……………….....50
Table 12-3 B&H Half Year Performance (Weekly data, Taiwan 50)...........................51
Table 13-1 B&H Monthly Performance(Daily data, Taiwan mid- cap100).................52
Table 13-2 B&H Seasonal Performance(Daily data, Taiwan mid- cap100) ………...54
Table 13-3 B&H Half Year Performance(Daily data, Taiwan mid- cap100) ………..55
Table 14-1 B&H Monthly Performance(Weekly data, Taiwan mid- cap100) …….....56
Table 14-2 B&H Seasonal Performance(Weekly data, Taiwan mid- cap100) ……....57
Table 14-3 B&H Half Year Performance(Weekly data, Taiwan mid- cap100) ….......58
Table 15-1 B&H Monthly Performance(Daily data, SSE 50) ……….........................59
Table 15-2 B&H Seasonal Performance(Daily data, SSE 50) …………....................61
Table 15-3 B&H Half Year Performance(Daily data, SSE 50) ……...........................62
Table 16-1 B&H Monthly Performance(Weekly data, SSE 50) …………..................63
Table 16-2 B&H Seasonal Performance(Weekly data, SSE 50) ……….....................64
Table 16-3 B&H Half Year Performance(Weekly data, SSE 50) ………....................65
Table 17-1 The Portfolio Performance of Tech Performance (Seasonal, Taiwan 50) ……....66
Table 17-2 The Portfolio Performance of Tech Performance (Half Year, Taiwan 50) …………................................................................................................................67
Table 18-1 The Portfolio Performance of Tech Performance(Seasonal, Taiwan mid-cap 100) …………..............................................................................................................68
Table 18-2 The Portfolio Performance of Tech Performance (Half Year, Taiwan mid-cap 100) …………..............................................................................................................69
Table 19-1 The Portfolio Performance of Tech Performance (Seasonal, SSE 50) …………70
Table 19-2 The Portfolio Performance of Tech Performance (Half Year, SSE 50) …….......71
 
LIST OF FIGURES
Figure 1-1  the flowchart..............................................................................................4
Figure 2-1  the optimal asset allocation(CRRA=3)....................................................23
Figure 2-2  the optimal asset allocation(CRRA=3)....................................................25
Figure 2-3  the optimal asset allocation(CRRA=3)....................................................26
Figure 3-1  B&H Monthly Performance(Daily data, Taiwan 50)..............................46
Figure 3-2  B&H Seasonal Performance(Daily data, Taiwan 50)..............................47
Figure 3-3  B&H Half Year Performance(Daily data, Taiwan 50).............................48
Figure 3-4  B&H Seasonal Performance(Weekly data, Taiwan 50)...........................51
Figure 3-5  B&H Half Year Performance(Weekly data, Taiwan 50)..........................52
Figure 3-6  B&H Monthly Performance(Daily data, Taiwan mid- cap100)..............54
Figure 3-7  B&H Seasonal Performance(Daily data, Taiwan mid- cap100)..............55
Figure 3-8  B&H Half Year Performance(Daily data, Taiwan mid- cap100).............56
Figure 3-9  B&H Seasonal Performance(Weekly data, Taiwan mid- cap100)...........58
Figure 3-10  B&H Half Year Performance(Weekly data, Taiwan mid- cap100)........59
Figure 3-11  B&H Monthly Performance(Daily data, SSE 50).................................61
Figure 3-12  B&H Seasonal Performance(Daily data, SSE 50).................................62
Figure 3-13  B&H Half Year Performance(Daily data, SSE 50)................................63
Figure 3-14  B&H Seasonal Performance(Weekly data, SSE 50)..............................65
Figure 3-15  B&H Half Year Performance(Weekly data, SSE 50)............................66
Figure 3-16  Tech Seasonal Performance (Taiwan 50)..............................................67
Figure 3-17  Tech Half Year Performance (Taiwan 50) ............................................68
Figure 3-18  Tech Seasonal Performance (Taiwan mid- cap100)..............................69
Figure 3-19  Tech Half Year Performance (Taiwan mid- cap100).............................70
Figure 3-20  B&H Half Year Performance(SSE 50)..................................................71
Figure 3-21  Tech Half Year Performance (SSE 50)..................................................72

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