- 學位論文
探討技術指標報酬率與公司特徵之關係–以布林通道為例
Profitability of Technical Indicators and Firm Characteristics – An Application of Bollinger Bands
摘要
美國學者Fama(1970)提出了效率市場假說(The Efficient Market Hypothesis, EMH)，說明了在弱勢效率市場裡，所有的技術分析都是沒有作用的。本研究透過以布林通道做為投資策略基礎，並將台灣股票市場依不同的公司特徵與股權結構進行分類，利用Python進行投資策略的績效回測，並使用單因子與多因子迴歸模型進行分析，藉以探討布林通道策略是否可以讓股市投資人在台灣市場獲得超額報酬。透過績效回測與迴歸分析，實證結果指出在台灣股票市場應用本研究所設定之布林通道策略，皆可以從中獲得超額的年化報酬率。在公司市值高的股票透過布林通道策略獲得的年化報酬率低於公司市值低的股票；當沖率高的股票透過布林通道策略獲得的年化報酬率高於當沖率低的股票，；週轉率高的股票透過布林通道策略獲得的年化報酬率高於週轉率低的股票；董監持股比例的高的股票透過布林通道策略獲得的年化報酬率高於董監持股比例低的股票；外資持股比例高的股票透過布林通道策略獲得的年化報酬率低於外資持股比例低的股票。
並列摘要
The US scholar, Fama (1970), proposed the efficient market hypothesis (EMH), stating that all technical analyses are in vain in a low-efficiency market. This study aims to develop invest-ment strategies with Bollinger bands (BBands), categorize the companies listed on the Taiwan Stock Exchange (TWSE) by the firm characteristics and share structure, run the performance back-testing of investment strategies with Python, and conduct one-way and multi-way regression models to investigate if BBands can help investors to gain exorbitant profit from the TWSE. The performance back-testing and regression analysis show that the BBands strategy set by this study enables investors to gain an exorbitant internal rate of return (IRR) from the TWSE. When using the BBands strategy: stocks with a higher market value have a lower IRR than stocks with a lower market value; stocks with a higher day-trading rate have a higher IRR than stocks with a lower day-trading rate; stocks with a higher turnover rate have a higher IRR than stocks with a lower turnover rate; stocks with a higher management holding rate have a higher IRR than stocks with a lower management holding rate, and stocks with a higher foreign investor holding rate have a lower IRR than stocks with a lower foreign investor holding rate.