布林通道獲利能力研究 :以台灣50指數成分股為例

The Profitability of Bollinger Bands: Example from the Constituent Stocks of Taiwan 50 index

余尚儒(Shang-Ru Yu)

指導教授 ： 倪衍森

淡江大學/商管學院/管理科學學系企業經營碩士班/碩士(2019年)

https://doi.org/10.6846/TKU.2019.00243

摘要

本研究以台灣五十成分股為研究樣本，來探討是否投資人可以透過使用布林通道 Bollinger Bands 作為交易買賣指標來獲取超額報酬。在本實證研究中，發現若股價跌落布林通道下軌線時可視為買進的信號 ，因為買進持有後，會有不菲的超額報酬；然而若當股價突破布林通道的上軌線時，則賣出持股或放空持股並沒有正向的超額異常報酬，反而採用動能策略對股市加碼反而會有超額異常報酬。

關鍵字

布林通道 ； 市場效率 ； 技術分析 ； 交易策略

並列摘要

By employing the constitutent stock of Taiwan 50 as investigated samples, this study explores whether investors are able to beat the market by trading these stocks in accordance with the trading signals emitted by Bollinger Bands (BB). The results reveal that investors might beat the market by buying stocks as the share prices falling down the lothis studyr band of BB as revealed significantly positive abnormal returns. Hothis studyver, investors might not beat the market by selling even short-sell stocks as the share prices rising up the upper band of BB; on the country, they might beat the markets by buying rather than short-seling stocks as revealed significantly positive abnormal returns, i.e. momentum strategies are appropriate in this case.

並列關鍵字

Bollinger Bands ； Market Efficiency ； Technical Analysis ； investment strategy

參考文獻

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