以乖離率技術分析定期定額投資策略之研究

The Study on the Relationship of Dollar-Cost Averaging Strategy and Volatility in the BIAS

黃錦川 ； 朱美珍 ； 陳旻瑋

《管理資訊計算》 2卷2期 (2013/12) Pp. 36-45

https://doi.org/10.6285/MIC.2(2).04

摘要

本研究主要透過乖離率技術分析輔助定期定額投資決策、單線停利投資法與雙線停利投資法之三種投資方法並以臺灣50指數成分股為例，計算年化報酬率並利用統計方法進行績效評比決定最佳投資方法研究。研究結果顯示：（一）採用波動性大乖離率漲跌20%情形下，不論何種投資方法所計算出的年化報酬率結果相近，並無法明顯的獲取股票長期投資的利潤；（二）採用波動性小乖離率漲跌10%情形下，當個股股價上漲時投資者可中途賣出個股進而增加獲利；當個股下跌時，乖離率具有停損效果，讓投資者減少虧損的狀況。而其優劣順序分別為單線停利投資法、雙線停利投資法與定期定額投資法。

關鍵字

臺灣50 ； 定期定額 ； 乖離率 ； 技術分析

並列摘要

This study focuses on the difference between the stocks using Dollar-value averaging strategy and the volatility I the BIAS as the criteria. The research has first shown that large stocks can achieve the highly profitable effect by BIAS 10% realizing profit and cutting loss. Because of large stocks may be short-term rapid limit up to realize profit or rapid limit down to cut loss from next Systematic investment Plan debit. This displays the point of 10% has risk control function. Second, BIAS 20% realizing profit and cutting loss is unable to achieve the highly profitable effect for large stocks. This means it is very difficult to catch BIAS 20% by selecting particular stock from the TAIWAN 50 component stocks. So BIAS 20% almost will not realize profit. As long as gain profit by short-term operation & long-term cash dividend/ stock dividend investment patiently, the rate of return is almost better. By looking at the performance indicators, BIAS10% single realizing profit investment is the better investment strategy.

並列關鍵字

Taiwan 50 ； Dollar-Cost Averaging ； Bias ； Technical Analysis

參考文獻

陳映廷(2007)，「濾嘴法則與乖離率是否可以獲取超額報酬？－以臺灣50 指數型基 金為例」，中興大學財務金融系所碩士論文。

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