技術指標之實證研究-以台指五十成分股為例

An Empirical Study of Technical Indicators for Underlying Stocks of Taiwan 50 Index

廖怡晴(Yi-Ching Liao)

指導教授 ： 林志鴻 ； 倪衍森

淡江大學/商學院/國際貿易學系國際企業學碩士在職專班/碩士(2006年)

https://doi.org/10.6846/TKU.2006.00255

摘要

本研究探討2003年1月1日至2005年12月31日間，台指五十成分運用「不同日數」之單一及組合技術指標（6日RSI、9日K值、13日PSY）及「同日數」之單一及組合技術指標（9日K值、9日D值、9日KD值）日交易資料對股價異常報酬之影響，以日交易數據，採事件研究法，檢驗運用技術指標發生後是否具有資訊內涵？並歸納分析其後續交易是否隱含異常報酬？能否提供投資大眾一個選擇買賣策略的參考？冀望能經由本研究之深入探討，讓投資大眾能掌握市場股價變動之節奏，提高交易超額報酬及其獲利機率；本研究之重要結論如下：
一、對台指五十成分股而言，運用不同日數之單一技術指標，若大盤非往下走時，當6日RSI＜20%或當9日K＜20%或當6日RSI＜10%時可買進股票或繼續持股，若大盤走勢非往上走時當9日K＞90%時應賣出持股或融券放空。
二、對台指五十成分股而言，運用不同日數之組合技術指標（6日RSI、9日K值、13日PSY之組合）「超過80或跌破20」或「超過90或跌破10」於投資策略時，買進股票、繼續持股、賣出持股或融券放空均無顯著異常報酬。
三、對台指五十成分股而言，運用同日數之單一技術指標或組合技術指標（9日K值、9日D值、9日KD值）當9日D＞80%或當9日KD＞80%或當9日K＞90%時可賣出持股或融券放空，另「超過90或跌破10」於投資策略時，除當9日K＞90%外，買進股票、繼續持股、賣出持股或融券放空均無顯著異常報酬。
四、對台指五十成分股而言，運用同日數之單一技術指標或組合技術指標（9日K值、9日D值、9日KD值）「超過80或跌破20」或「超過90或跌破10」其實證結果不因同日數技術指標而有相同結果。

關鍵字

技術指標 ； K值 ； RSI ； 異常報酬 ； 事件研究法 ； 資訊內涵

並列摘要

This research employs event study approaches to investigate if abnormal returns existed in underlying stocks of Taiwan 50 index by setting technical indicators as “events” for event study.
Two kinds of “events” are investigated in this study. One is to calculate technical indicator, such as 6-day RSI > 80, 9-day K > 80, by same days, and the other is to calculate technical indicators by different day. For example, the first group includes 6-days RSI, 9-days K and 13-days PSY, and the second group includes 9-days K, 9-days D and 9-days KD. In addition, single and composite technical indicators are also examined. Then, there are several important findings are disclosed and shown as follows:

1. By using single technical indicators calculated by different days, investors could buy or hold stocks while signal shown by technical indicator such as 6-days RSI values < 20%, 9-days K values < 20%, or 6-days RSI values <10%. Besides, while K value > 90%, investors might short-selling stocks.

2. By employing composite technical indicators calculated by different days, investors might not get abnormal returns while the signals shown 6-days RSI, 9-days K, and 13-days PSY are all higher than 80 or lower than 20, or even higher than 90 or lower than 10.

3. By using single technical indicators calculated by same days, investors could buy or hold stocks while signal shown by technical indicator such as 9-days D value > 80%, 9-days KD values > 80%, or 9-days K values > 80%. In addition, while K value > 90%, investors still could short-selling stocks to make profit.

4. By employing composite technical indicators calculated by same days, investors might not get abnormal returns while the signals shown 9-days K, 9-days D, and 9-days KD are all higher than 80 or lower than 20, or even higher than 90 or lower than 10.

並列關鍵字

Technical Indicator ； K Value ； RSI Value ； Abnormal Returns ； Event Study ； Information Contents

參考文獻

王武德（2006），「跳空缺口之實證研究－以台指五十成份股為例」，淡江大學管理科學研究所未出版碩士論文。

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