價格關卡效應及技術分析指標及股價報酬預測能力

Using Price Barriers and Technical Indicators

王威鈞(Wei-Chun Wang)

指導教授 ： 周冠男 ； 林博文

元智大學/管理學院/管理研究所/碩士(2001年)

摘要

回顧過去的研究，從以前開始就有許多學者將具指標性的大盤指數，如DJIA、NASDAQ、加權股價指數…等，在某些刻度當作是相對價格移動上的重要參考資訊，而這些資訊也只有在特定數值的指數上，例如5000、6000點時才會被考慮，尤其是當這些指數向上（下）突破一個重要的整數或心理關卡時，交易員會認定這是多頭波段（空頭波段）的起始，而投資人的心理因素也助長了股票價格向上（向下）的力量。一般大眾都將這種現象稱之為「支撐區」或「壓力區」，而股價指數和平均線就變成重要的心理訊號（sentiment signals）。
本研究在架構上可分成二個部份，第一部份驗證價格關卡的效應是否存在於各國主要的股價指數中，期望能發現當指數碰觸到5000、6000點等關卡時會有類似支撐、壓力區的效應出現。第二個部份使用現有常用的技術分析法則，如乖離率、RSI強弱指標、MACD指數平滑異同平均線、威廉指標、移動平均線、KD值隨機指標、PSY心理線、OBV人氣指標等，再加入價格關卡的訊號，觀察是否能有效的預測未來股價的走勢，並藉由這些技術指標訊號的交易策略，驗證其所獲得的報酬是否能顯著的超越買進後持有策略（buy-and-hold）報酬。
在樣本的選取上，挑取目前市場上最具代表性意義的四種股價指數，分別為道瓊工業指數、那斯達克指數、日經225指數、以及台灣的加權股價指數日資料。結果在價格關卡的驗證上，只有那斯達克指數有類似價格關卡效應的存在。而在考慮交易成本後，利用技術訊號所產生的交易策略其報酬都無法一致的高於買進後持有策略。因此，技術分析法則在本研究中的表現並不十分理想。

關鍵字

價格關卡 ； 技術分析 ； 股價預測 ； 逐步迴歸 ； 支撐壓力區

並列摘要

Since one would preserve some popular stock indices, like DJIA or Nasdaq, their relevant information on relative price movements with a rescaling of the index, and would lose in the rescaling process only information regarding the particular numerical values assumed by the index. In particular, many people also assert that traders may “jump on the bandwagon” of buying (selling) once the stock index breaks up (down) through a “psychologically important” level, and suggest that the crossing of one of these sentiment-induced barriers may push the index up (down) more than others. Frequently used phrases such as “support level” and “resistance level” also imply that, until such time as the psychologically important barrier is broken, increases and decreases in the stock index may be restrained so as to prevent crossing of the barrier level.
In this study, we can divide into two sections. First, the barriers hypothesis is formalized and three statistical tests for the presence of pricing barriers in stock indices are presented. Second, we used price barrier’s effect and some popular technical analysis rules, such as moving average, Bias, RSI, MACD, KD, PSY, OBV, WMS, to test if these technical signals can forecast the stock return and significantly beat the buy-and-hold strategy return.
As the most widely reported of all stock market indices, we choose Dow Jones Industrial Average, NASDAQ, NIKKEI225, and Taiwan Weighted Stock Index to test the presence of psychological pricing barriers, and examine the ability of the trading rules to predict variation in expected daily returns. As the result, only NASDAQ has the possible existence of barriers to price movements in the daily closing values. Based on this predictive ability and after accounting for transaction costs, the technical analysis can’t achieve consistently higher than the returns for a buy-and-hold policy.

並列關鍵字

price barriers ； technical analysis ； forecast stock index ； stepwise regression

參考文獻

4.Bessembinder﹐H﹒and K﹒Chan﹙1995﹚﹐＂The Profitability of Technical Trading Rules in the Asian Stock Markets﹒＂Pacific-Basin Finance Journal﹐pp.257-284

5.Bessembinder﹐H﹒and K﹒Chan﹙1998﹚﹐＂Market Efficiency and the Returns to Technical Analysis﹒＂ Financial Management﹐Vol.27﹐No.2﹐pp.5-17

6.Brock﹐W. A.﹐＂Distinguishing random and deterministic system: abridged version﹒＂Journal of Economic Theory﹐Vol.40﹐1986﹐pp.168-195

7.Brock﹐W.﹐Hsieh﹐D.﹐and LeBaron﹐B. ﹐＂Non-linear Dynamics Chaos﹐and Instability Statistical Theory and Economic Evidence﹒＂Cambridge﹐MA：MIT Press﹐1991

8.Bonhan﹐James﹐＂Relative Strength：Further Positive Evidence﹐＂Journal of Portfolio Management﹐Fall﹐1981﹐pp.36-393.