The Effectiveness of Technical Analysis with Moving Average Rule: The Role of Institutional Investors in Taiwan

[[abstract]]移動平均線是預測股價趨勢的重要方法之一。本研究試圖利用移動平均線的技術分析指標，檢視移動平均線在不同高、低法人持股的股票中是否具備有效性。本文實證結果指出，相較於高法人持股的股票，在低法人持股的股票中，移動平均線策略能夠獲得較高的報酬率，而此報酬率亦顯著高於買進持有策略。本文整體研究結果支持低法人持股的股票較具有股價連續性之特質，進而造就移動平均線的擇時功能在此等股票中較得以發揮作用。[[abstract]]Technical analysis with moving average (MA) is a useful tool to time the market Using a sample of stocks listed on Taiwan stock market this study tests the MA’s effectiveness for stocks with high versus low institutional ownerships (IO) Our results show that 10-day MA strategy generates higher returns among low-IO stocks than that among high-IO stocks Such finding is supported by the view that stock price continuation is due to underreaction to public information by investors and investors will underreact even more in case of greater information uncertainty (e g low-IO stocks