技術分析應用於台灣公債投資績效之實證

Technical Analysis and Bond Market Trading Performance: Evidence from Taiwan Government Bonds Market

周建新(Jian-Hsin Chou) ； 陳振宇(Zhen-Yu Chen) ； 許正昇(Cheng-Sheng Hsu)

《經營管理論叢》 3卷2期 (2007/12) Pp. 23-45

https://doi.org/10.6872/OMR.200712_3(2).0019

摘要

本文以國內公債買賣斷市場之10年期指標公債為研究標的物，並透過濾嘴法則、移動平均線理論、買進持有法及本文提出的配分式移動平均線，進行比較上述各投資策略在「買長」與「買長／賣空」操作下，績效之優劣。實證結果顯示：（一）在各種不同研究期間下，進行「買長」與「買長／賣空」操作，皆以濾嘴法則之操作，可得最佳投資報酬率，此結果顯示透過濾嘴法則策略之操作可以提高債券的投資績效。（二）對於「買長／賣空」操作，因可允許放空，故其各項操作之最佳策略績效，均優於「買長」操作。（三）配分式移動平均線，除在震盪盤整期外，均可擊敗移動平均線策略，以獲得較佳的投資報酬率。（四）台灣公債券買賣斷市場，並不具有弱式效率性。

關鍵字

濾嘴法則 ； 移動平均線 ； 弱式效率性

並列摘要

This paper is aimed to compare the bond investment performance based on several trading strategies, including filter rules, moving average, buy and hold and our proposed score moving average method. The 10 years on-the-run government bonds are used as our research targets. The empirical results indicate that: (1) Using the long rule or the long/short rule, the moving average strategy outperforms other methods in different sample periods. Hence, we conclude that the moving average strategy can help to raise the investment performance for government bonds investors. (2) Under the long/short rule, the investors are allowed to short .their government bonds position. This is the main reason why the long/short rule has a better investment performance than the long rule. (3) Our proposed score moving average method also outperforms the moving average method except the oscillation sample periods. Second, in the long/short rule, moving average method outperforms score moving average method except some oscillation periods. (4) In addition, our evidences also show that the weak-form efficiency of Taiwan bond market does not exist.

並列關鍵字

Filter rules ； Moving average ； Weak-form efficiency