台灣股市—量價關係與趨勢轉折之實證研究

An Empirical Study on the Relationship of Trading Volume and Price and Trend Reverse in Taiwan Stock Market

陳彥瑾(Yen-Chin Chen)

指導教授 ： 邱建良

共同指導教授 ： 吳佩珊

淡江大學/商管學院/財務金融學系碩士在職專班/碩士(2015年)

https://doi.org/10.6846/TKU.2015.00731

摘要

本研究目的為歸納股票市場的量價關係，以台灣加權股價指數為研究對象，採用民國75年1月至103年9月之交易資料，利用Excel軟體繪製K線圖，對於加權指數長期（月K）、中期（週K）、短期（日K）收盤價與成交量之交易數據，進行各種量價關係之研究分析。
用長期（月K）為基準，分析民國75年1月起至103年9月止，長達28年9個月之月收盤價、月成交量，將市場分為四大循環波後，選取自78年1月以後台灣股票市場所出現四個最高價、三個最低價，再分析其當月收盤價、成交量，得出「當價出現最高點時；量雖非最大量，但卻是相對大量」、「當價出現最低點時，量雖非最小量，但卻是相對小量」之量價關係。
採用中期(週K)為基準，將市場分為四大循環波後，再擇取其波動中之多頭走勢，依序分析週收盤價、週成交量，得出「價漲量增」之因果關係。擇取波動中之空頭走勢，依序分析週收盤價、週成交量，得出「價跌量縮」之因果關係。
採用中期(週K)為基準，將市場分為四大循環波後，擇取市場四大循環波中多頭走勢與空頭走勢，統計分析其週收盤價的四個最高點、最低點及週成交量的四個最大量、最小量，再分別計算最大量、最高價的出現時間，及最小量、最低價的出現時間，得出「量先價後」之因果關係。
採用短期(日K)為基準，將市場分為四大循環波後，再擇其波動中之多頭走勢，依序分析日收盤價、日成交量，得出「價漲量增、價跌量縮(量價配合)」之因果關係。擇其波動中之空頭走勢，依序分析日收盤價、日成交量，得出「價漲量減、價跌量增(量價背離)」之因果關係。

關鍵字

技術分析 ； 量價關係 ； 趨勢轉折 ； 量價背離

並列摘要

The purpose of this study is summarized in stock market volume and price relationship to the Taiwan Weighted Stock Index for the study, use transaction data from January 1986 to September 2014, and use Excel software to draw K line graph. For the weighted index of long-term (monthly K), medium term (weeks K) and short-term (day K) closing price and volume data, analyze the relationship between the volume and price.
With long-term (months K) as a reference, analyze the monthly closing price and volume from January 1986 to September 2014, a total of 28 years and 9 months. The market is divided into four cycle waves, choose the four highest prices and the three lowest prices since January 1989 in Taiwan's stock market, and analyze the months' closing price and volume, conclude with "when the highest price occurs; though the volume is not the largest, but it is relatively large," "when the lowest price appears, though the volume is not the minimum, but it is a relatively small."
With mid-term (weeks K) as a reference, the market is divided into four cycle waves, then choose the wave in the bull trend, and analyze week's closing price and volume, conclude with "rising values increase in volume." Choose the wave in the bear trend, and analyze week's closing price and volume; come to "falling price decrease in volume."
With medium-term (weeks K) as a reference, the market is divided into four cycle waves, choose bull and bear market trend in the four cycle waves, analyze the four highest and lowest closing prices and volume, and then calculate time of the maximum volume and the highest price appears, and time of the minimum volume and the lowest price appears, come to a relationship " volume leads price."
With Short-term (day K) as a reference, the market is divided into four cycle waves, choose the wave in the bull trend and analyze day’s closing price and volume, conclude with "rising values increase in volume, falling price decrease in volume (conformance of volume and price)." Choose the wave in the bull trend and analyze day’s closing price and volume, come to “rising values decrease in volume, falling price increase in volume (volume and price deviation)."

並列關鍵字

Technical Analysis ； Relationship Between Volume and Price ； Trend Reverse ； Volume and Price Deviation

參考文獻

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