技術分析交易策略在台灣股票市場之實證研究

An Empirical Study of Technical Trading Strategy in Taiwan Stock Market

郭彥廷(Yen-Ting Kuo)

指導教授 ： 林霖

國立暨南國際大學/管理學院/財務金融學系/碩士(2008年)

摘要

本文使用避險基金與市面常見之技術分析共26種交易策略，檢視台灣證券交易所自1971至2007.7.31所有上市上櫃股票，研究26種交易策略所建立之交易法則之抗跌助漲效能及其是否優於台灣加權股價指數買入持有報酬。本研究交易策略除採用過去文獻常用之技術分析外，另加入避險基金式技術分析；研究方法按各交易策略的不同，採用固定參數與蒙地卡羅法(Monte Carlo Simulation)進行最適參數之模擬。研究發現，填補缺口、移動平均(MA)、動量指標(MTM)與變速率(ROC)四種交易策略獲利能力最佳。另外，與財務理論及實證研究相符的是交易策略具有漲多跌少的現象且報酬波動度越大越能為投資者帶來獲利。最後，在亞洲金融風暴發生後策略法則變的相對有用，這說明技術指標的確具有抗跌的效用。

關鍵字

交易策略 ； 技術分析 ； 股票市場 ； 效率市場假說

並列摘要

The study aims to figure out twenty-six typical technical trading strategies and hedge funds. The data applied all stocks from Taiwan Stock Exchange for the period 1971 to 2007.7.31. This study want to research of the reinforcing gaining and anti-falls effect, and examing the performance of trading rules and the returns of the TSEC weighted index. The research methods of trading rules were not only included former studies but also hedge funds. We use fixed parameters and Monte Carlo Simulation to simulate optimal parameters which depend on the difference of trading rules. The results show that the profitability of Filling Cap, Moving Average, Momentum, and Rate of Change were better than the other trading rules. Besides, the reinforcing gaining and anti-falls effect of trading rules and high stock return volatility generally allow investors to own higher expected returns. In many instances, the trading rules serve as a brake to stop loss for loser stocks after Asian Economic Storm.

並列關鍵字

Trading Strategy ； Technical Analysis ； Stock Market ； Efficient Market Hypothesis

參考文獻

英文參考文獻

1. Alexander, S.(1961), “Price Movement in Speculative Markets：Trend or Random Walks”, Industrial Management Review 2 ,7-26.

2. Alexander, S.S. (1964), “Price movement in speculative markets: trend or random walks, No. 2”, The Random Character of Stock Market Prices, MIT Press, Cambridge, MA, Cootner, P. (ed.), 338-372.

3. Alfred, C. (1933), “Can Stock Market Forecasters Forecast? ”, Econometrica, 1(3), 309-324.

4. Bessembinder, Hendrik and Kalok C. (1995), “The Profitability of Technical Trading Rules in the Asian Stock Markets”, Pacific-Basin Financial Journal 3, 257-284.