濾嘴法則檢測台股市場效率性之實證研究

An Empirical Study on Testing of Efficiency Market by Filter Rules for Taiwan Stock

楊凱榮(Kai-Rong Yang)

指導教授 ： 聶建中

共同指導教授 ： 陳達新(Dar-Hsin Chen)

淡江大學/商學院/財務金融學系碩士在職專班/碩士(2012年)

https://doi.org/10.6846/TKU.2012.00924

摘要

台灣股票市場隨著外資的加入與散戶投資人的投入，基本分析與技術分析的有效性在海外證劵市場爭論不休的論點，在台灣亦浮上檯面。翻開諸多海外文獻，其中濾嘴法則為主要用來探討技術分析是否有效之工具。本研究使用2002年1月1日至2011年12月31日的股價資料，以台灣50指數與台灣中型100指數成份股為樣本，驗證濾嘴法則在台灣股票市場交易之有效性。
實證發現，單獨使用濾嘴法則雖可取得正報酬但仍無法勝過買進持有策略，然而採用雙濾嘴策略下，可有效提升績效並勝過買進持有策略，濾嘴法則並不適用於所有產業與各種波動類型的股票，在波動性高之個股使用濾嘴法則有較佳之績效。實證顯示濾嘴法則在台灣股市場具有效性，表示台灣股市不具備弱式效率性。

關鍵字

濾嘴法則 ； 技術分析 ； 貝它值 ； 台股交易 ； 效率市場

並列摘要

Withing the input of foreign capital and individual investors' join in Taiwan stock market, the controversy of effectiveness fundamental analysis and technical analysis are been widely discussed in Taiwan stock market as well. Go through many overseas academic literature, filter rule is the basic tool for exploring the effectiveness of technical analysis. In this study,we use the stocks history data from 1st January 2002 to 31st December 2011, in accordance with constituent stocks of Index and TSEC Taiwan Mid-Cap 100 Index as the samples to verify the effectiveness of the filter rule in Taiwan stock market.
Empirical findings, using the filter rule alone can achieve positive returns, but still can not outperform the buy-and-hold strategy, if use the dual-filter strategy can effectively improve performance and outperform the buy-and-hold strategy. The filter rule does not apply all industries and all kinds of volatility of stocks, high volatility stocks had a better performance in the filter rule. The results indicate filter rule is having the effectiveness in Taiwan stock market. The evidence also indicates that the weak-form efficiency of Taiwan stock market does exist.

並列關鍵字

Filter Rules ； Technical Analysis ； Efficient Market ； BETA ； Taiwan Stock Trading

參考文獻

許國書(2005)，投資組合保險策略搭配濾嘴法則之績效比較，淡江大學財務金融研究所碩士論文。

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