股票技術分析的投資績效實證研究—以投資ETF台灣五十成分股之報酬為例。

An Empirical Study of Investment Performance in Applying Stock Technical Analysis —The Case of ETF Taiwan 50 Index Constituents

陳志誠(Chih-Cheng Chen)

指導教授 ： 林谷峻

淡江大學/商管學院/會計學系碩士在職專班/碩士(2017年)

https://doi.org/10.6846/TKU.2017.00701

摘要

投資股票獲利的基本法則就是買低賣高，而股票技術分析的目的就是在找尋股票的相對低價與相對高價，以決定較佳的買賣時點，企望達成投資的理想境界：風險極小化，利益極大化。從以往諸多文獻的實證結果可知，技術分析似乎也沒有一個放諸四海皆準的方法，但是其基本理論大略符合股市現實狀況；所以本研究採用股票技術分析最基本之方法與原則—平均成交量、移動平均線及量價關係，探討提高股票投資報酬的可行方法。本研究實證結果顯示，就長期投資而言，應用長短期(20日及10日) 的平均成交量與移動平均線所形成之黃金及死亡交叉而決定買賣時點策略，其績效並無法勝過買進持有策略；但運用量與價的雙重技術指標之配合，比較僅使用就量或價的單一技術指標以決定股票買賣時點，有提高投資報酬之效用且為可行之方法。

關鍵字

平均成交量 ； 移動平均線 ； 量價關係

並列摘要

The basic rule of profiting from investment stock is to buy low and sell high, and the purpose of stock Technical Analysis is to find out whether the stock is at relatively low prices or relatively high prices, which helps determine a better trading point. And hope to reach an ideal realm of investment: to minimize the risk, and maximize the profits. Judging from the empirical results of many previous literatures, the technical analysis does not seem to be a universal method, but its basic theory is in line with the realities of the stock market. Therefore, this research adopts the most basic methods and principles of stock Technical Analysis: Moving Volume, Moving average and the relationship between volume and price, so as to explore a feasible way to improve the stock investment compensation. The empirical results of this study show that, in terms of long-term investment, the application of the intersection of gold and death formed by the Moving Volume and the Moving Average of long and short (20 and 10 days) determines the trading-point strategy, but its performance can not be better than the buy-and-hold strategy. However, this study also finds that if the volume and price of the dual technical indicators used can be a feasible way to improve the effectiveness of investment, compared with merely using the volume or price of a single technical indicators to determine the trading point.

並列關鍵字

Moving Volume ； Moving Average ； the relationship of Volume and Price

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