- 學位論文
運用移動平均價黃金與死亡交叉準則之研究─以台灣與英國股市實證
A Research on Moving Average Price by Using Golden and Dead Cross Principles ─ The Stock Markets in Taiwan and UK as an Empirical Study
摘要
本研究是採取移動平均價之黃金交叉作為買點與死亡交叉作為賣點，比較台灣與英國二國股市之獲利次數機率及獲利率，作為探討黃金交叉買點與死亡交叉賣點法則對投資者決策的適用性，使用t檢定作為分析工具，並採用各種不同組合方式來分析。結果發現： (1) 以6日和24日交叉及12日和24日交叉為基準，黃金交叉與死亡交叉之獲利率，英股與台股皆有顯著性差異，且台股較適合運用此法則。 (2) 運用不同資料區間，黃金交叉與死亡交叉之獲利率，英股與台股皆有顯著性差異，但6日移動平均價與24日移動平均價之交叉除外，結論為台股較適合運用此法則。 (3) 未來10天及20日逢高賣出或逢低買進原則之獲利次數機率，兩國皆無顯著差異，即此法則同時適用於兩國而無差異性。 由以上研究結果得知，此移動平均價黃金與死亡交叉法則無法同時適用於台股與英股，對於台股整體的反應是呈現較良好的結論；相對於英股而言，則是不太樂觀。
並列摘要
In this paper, we document moving average price by using golden cross as call option and dead cross as put option, and compare earning frequency probability and earning ratio both in Taiwan and UK stock markets. This paper uses T-test as testing tool, and adopts different kinds of combinations to analyze data. The conclusions are obtained as follows: (1) Using the cross of 6 days, 12days and 24days, the earn ratio of golden and dead cross shows significantly differences between UK stock and Taiwan stock. Moreover, the rule of golden and dead cross is more suitable for Taiwan. (2) Using different data range, the earn ratio of golden and dead cross shows significantly differences between UK stock and Taiwan stock However, the cross of 6 moving average price and 24 moving average price is excluded. Consequently, the rule of golden and dead cross based on different data range is more suitable for Taiwan. (3) The earning frequency probability based on selling or buying at future low or high price of 10 days and 20 days does not show significantly differences between UK stock and Taiwan stock. It means that this rule can be used both in UK and in Taiwan. As the above results, the rules of golden and dead cross based on moving average price can’t be applied in UK and Taiwan stock market at the same time. The results in Taiwan are better than that in UK.