- 學位論文
以移動平均線檢測台股多空循環
An Investigation of the Stock Market of Taiwan by using Moving Average Technique
摘要
股票是由公司向大眾募集資金時發行給投資人，以表彰對公司的所有權。而股市乃是經濟的領先指標，股市反應的是未來的情況。公司經營者透過股票市場，可以籌集到資金用以擴充公司的產能和營運規模。投資人可以買進股票長期持有，參與分配股息和股利，享受到公司的經營成果；當然也可以短期買進賣出，賺取股票價差。因此很多投資人靠著股市致富，也有許多人因為股市傾家蕩產，本研究認為兩者的差異就差在缺乏一套方法，因為沒有這套方法，就無法找到買賣價位，然而就走向追高殺低或是尋找落後補漲低基期的股票，最終無法再股市獲利。 本研究使用方法是移動平均線這項技術指標，以台灣50成分股為研究對象，利用三種模式搭配各別5條移動平均線檢測是否可以應用於股市的多空循環並有相對的報酬，並用t檢定檢測是否具有顯著性。研究結果發現，在多空模式下的顯著性均有30個以上，三種模式結合的顯著性均40個以上，由此可見移動平均線這項技術指標有效。在這三個模式下的結果，本研究發現MA13不管是在哪種模式下，皆為本研究最佳的移動平均線。
並列摘要
Stocks is the instrument that raises capital from general public for a public company, and stocks itself is a token that represents ownership of the public company. Stock market is a leading indicator for the economy, and it normally reflects what is likely to occur in the future. Through stock market, owners of a company could raise capital for expanding its capacity and operating scale. Meanwhile, investors could buy stocks and hold on a long term basis, participating distribution of stock dividends, and sharing operating result of the company. Of course, investors could also buy and sell stocks on a short term basis, and try to make a profit on the price differences. Some people make a fortune out of it, while some other people lose all their money. The basic idea of this study is that the difference between the two is a correct methodology. Without correct methodology, investors could not find the right price to buy and to sell, finally either they buy high and sell low or try to find stocks that lag behind in their performance, and the consequences is they cannot make money in the stock market. The methodology of this study is to utilize a technical indicator called Moving Average Line (MA). The constituents in the Taiwan 50 index is our target in this study. We use three models and each complement with five MA, and to test them to see whether they could generate relative return under both bullish and bearish market, and we use t-test to examine their significance. According to our finding in this study, the number of significance has been more than 30 under both bullish and bearish market. A combination of the three models further shows that the number of significance has been increased to more than 40. Therefore it proves that this technical indicator, MA, works. The result of the three models in this study shows that under whichever models, the MA13 (13 days Moving Average Line) has been proved that it’s the best MA in this study
參考文獻
延伸閱讀
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