Information Uncertainty and Moving Average Rule: Market and Industry Analysis

[[abstract]]本研究以國內上市、上櫃市場及各產業指數為研究標的，藉由移動平均線的獲利性驗證本文核心假說：「資訊不確定性高的股票，通常較容易造成投資人對於資訊反應不足，致使容易產生價格連續性，進而造就移動平均線的獲利性較顯見於資訊不確定性高的股票」。本文實證期間為2008年01月01日至2015年12月31日，研究結果顯示：(一) 移動平均線應用在上櫃指數的獲利性高於應用在上市指數；(二) 產業平均結果而言，移動平均線應用在台灣電子業股票具有較高的獲利性。本文整體研究結果支持資訊不確定性假說。[[abstract]]By employing a sample of Taiwan stock market this study examines the profitability of a moving average (MA) technical analysis by testing the main hypothesis: stocks with greater information uncertainty would experience greater price continuation which in turn implies a superior performance of the MA strategy on them Our empirical results indicate that the MA’s profitability on the OTC market index than on the exchange market index Also the MA’s profitability is more evident on electronics industry index In sum our overall results support the information uncertainty hypothesi