具多構面決策指標於證券投資系統建立之研究

A study of constructing a multi-strategy stock investment information system

謝博丞(Po-Cheng Hsieh)

指導教授 ： 陳大正

國立虎尾科技大學/管理學院/資訊管理研究所/碩士(2009年)

摘要

本研究主要為針對元月效應下探討從各種構面進行股市交易獲利狀況，並嘗試著從其中建立一套具有多構面決策指標之股市交易系統進行研究。在現今各類技術指標發展完善的股市交易中，不能僅倚賴單一指標，而更需從多方面進行分析，如基本分析、籌碼分析及市場分析等，才有辦法降低風險及創造獲利。故本研究經由實驗探討各指標、券資比及跟隨機構投資人之獲利能力，結合指標找出適當之進入點與退出點，並有效減少各指標之交易次數，使用多構面決策指標找出股價相對低點建議投資人適時逢低買進，根據各指標投資策略尋求賣出時機。
本研究經實驗發現，以多構面指標投資策略搭配適當退出門檻值，將有具有獲利成效，其中在2009年全球經濟衰退時仍可保有獲利能力，而使用多構面指標買進後，參照券資比率賣出，以台灣50為股票為對象，且適當的參數設定下，依實驗數據結果顯示在第一季可獲得合理之利潤，證明本論文所提出之方法為有效投資參考。

關鍵字

投資策略 ； 技術指標 ； 融資融券 ； 機構投資人 ； 元月效應 ； 信用交易

並列摘要

This research is to investigate that how to maximize the profit from the stock trading by using different combination of indexes. Based on the above decision approach, a decision system for deciding the trading stock has been built in this study. Due to the trading decision can not just rely on unique index; more technical analysis of stock indexes will be included in our decision model for earning more profits. The purpose of this study is to examine the relationship between stock indexes, level of margin transactions, and effect of three primaries institutional investors with the January effect so as to utilize those indexes to make the investment strategy. We constructed a multi-strategy stock investment information system based on the proposed approach. The numerical experiment shows that the proposed approach can provide the investors to earn reasonable profits from the stock market.

並列關鍵字

investment strategy ； technical analysis ； institutional investors ； January effect

參考文獻

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