The trading performance of filter rules on the Taiwan Stock Exchange
- 1 December 1995
- journal article
- research article
- Published by Informa UK Limited in Applied Financial Economics
- Vol. 5 (6), 391-395
- https://doi.org/10.1080/758538598
Abstract
This study examines the trading performance of filter rules relative to the buy-and-hold strategy on the Taiwan Stock Exchange. Using a sample of all listed firms in the period 1971–93, this research finds that the medium-size filters significantly outperform the buy-and-hold strategy even after transaction costs are accounted for.Keywords
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