快、慢速移動平均價指標對台灣、香港市場投資獲利之比較

Comparing the Invest Profit Based on the Fast and Slow Moving Average Price between the Stock Market in Taiwan & H.K.

蘇琬姿(Wan-Tzu Su)

指導教授 ： 池福灶

長榮大學/管理學院/國際企業研究所/碩士(2008年)

https://doi.org/10.6833/CJCU.2008.00093

摘要

本研究應用Granville所提出黃金交叉和死亡交叉觀念做為交易準則，以不同快、慢速移動日數交叉之移動平均價（Moving Average Price,MA）比較台灣、香港股市的投資獲利狀況。而台灣股價從新經濟新報資料庫（TEJ）抽取2002/1月∼2008/1月股價樣本，香港從奇摩財經中心抽取1994/1月∼2007/9月股價樣本，經由程式設計及單因子變異數分析，分別以不同快、慢移動天數、不同資料個數期間之移動平均價交叉進行討論。主要探討兩區域移動平均價運用黃金交叉與死亡交叉交易準則之獲利率與獲利次數機率，是否顯著異同，作為投資者參考。而本研究結果顯示：
（1）黃金交叉先買進後於死亡交叉賣出，死亡交叉先賣出後於黃金交叉買進之交易準則不能同時適用於不同區域，台灣股市有超額獲利，香港股市為負獲利。
（2）在不同資料個數交叉時，運用黃金交叉先買進後於死亡交叉賣出，死亡交叉先賣出後於黃金交叉買進之交易準則不能同時適用於不同國家，台灣股市有超額獲利，香港股市為負獲利。
（3）若能應用黃金交叉買進後未來n天逢高賣出、死亡交叉賣出後未來n天逢低買進，台灣與香港獲利次數機率都大於90％相當顯著。
由上述結論，在兩個不同區域、不同快慢移動天數、資料個數區間、未來n天組合雙雙比較下，投資者未來能在國際上運用此移動平均價指標，來規避風險。

關鍵字

移動平均價 ； 獲利次數機率 ； 黃金交叉 ； 死亡交叉 ； 獲利率

並列摘要

This research applies golden cross and dead cross, proposed by Granville, as a basis of transactional principle to comparing the earn profits of Taiwan and Hong Kong’ stock market by moving average price of the different date cross. The study utilizes TEJ data of Taiwan stock price sample from January, 2002 to January, 2008, and data of Hong Kong stock price sample from January, 1994 to September, 2007 from the Yahoo Finance & Economics Center. With the program design and one-way ANOVA analysis, the study proceeds to analyze the cross effect on the moving average price by different moving of days and the different data integer period. It mainly discusses the differences between the earn probability and rates of profit by using moving average prices of two regions with transactional principles of golden cross and dead cross.
The results serve as significant references to the investors avoid the investment risks. The findings indicate the following:
(1)This transactional principle cannot be applied to different regions when analyzing the effect of different moving of days on the moving average price.
(2) The transactional pricnciple cannot be applied to different regions when analyzing the effect of different data interger period on the moving average price.
(3) The transactional principle is significant in Taiwan and Hong Kong’s rates of earn probability when applying Future N Day approach.
By the above conclusions, under two different regions, different data integer period, the combination compare in pairs. The investors can use the target of moving average price for avoid the risk in the future.

並列關鍵字

Moving average price ； Rates of earn probability ； Golden cross, Dead cross ； Earn probability

參考文獻

5.樓禎祺、何培基（民92)。股價移動平均線之理論與實證—以台灣股市模擬投資操作。育達研究叢刊，第五、六期合刊，頁27-52。

1. Gunasekarage A.,& Power, D. M. (2001). The profitability of moving average trading rules in South Asian stock markets. Emerging Markets Review, II, pp.17-33.

2. Chiarella, C., He, X. Z. & Hommes C. (2006). A dynamic analysis of moving average rules. Journal of Economic Dynamics & Control, 30, 1729–1753.

3. Kao, C. H., & Lyuu, Y.D. (2003). Pricing of moving average type options with applications. The Journal of Futures Markets, 23(5), 415–440.

4. Ellis, C. A., & Parbery, S. A. (2005). Is smarter better? A comparison of adaptive, and simple moving average trading strategies. Research in International Business and Finance, 19, 399–411.