摘要
台灣在對外貿易發展影響的主要因素之一為匯率，尤其新台幣的走勢將牽動進出口商的盈虧情況。有許多影響匯率變動的因素已被逐一證實，但一般參與匯率的交易者通常無法精準地研判匯率走勢。本研究欲藉由技術分析之移動平均線來做為操作匯價的依據，透過技術指標之簡單移動平均線的週均線 (5日)、月均線 (20日)及季均線 (60日) 以長達十五年的期間來操作新台幣/美元、日圓/美元及人民幣/美元等匯率後，可了解技術分析運用於匯率市場是否也具參考價值，同時也說明在美國次級房貸金融風暴期間是否能有相同的投資績效表現。再經由實證後，所獲得的主要結論為： 一、採用週 (5日) 、月(20日) 和季 (60日) 等三種均線交易法則來操作新台幣兌美元的結果是具有參考價值。其中，又以月均線 (20日)之移動均線交易法則操作新台幣/美元為較佳的技術指標。另外，在金融風暴期間中，發現不至於改變均線交易法則的有效性，支持這三種頻率之均線交易法則運用新台幣/美元操作仍是具有參考價值。 二、，發現月均線 (20日) 交易法則運用在日圓/美元操作買進做多美元的交易結果是具有參考價值且為較佳的操作指標，以週 (5日) 和季 (60日) 均線來操作日圓/美元是不具參考價值。其次，在金融風暴期間的操作結果，則發現無論是運用週 (5日) 、月(20日) 或是季 (60日) 均線來操作日圓兌美元的匯率，並不具有一定的投資參考價值。 三、也發現以週 (5日)、月(20日) 和季 (60日) 等三種均線交易法則來操作人民幣/美元後，所得到總報酬率及夏普指標均為負，顯示均線交易法則運用在人民幣/美元操作並未非完全具有一定的參考價值。無論是在金融風暴期間與非金融風暴期間的操作結果，均支持利用均線交易法則來操作人民幣兌美元匯率將無法獲得良好的投資績效，傾向不具有參考價值。最後，本研究的結果將可提供相關主管機關和匯率參與交易者的參考依據。
並列摘要
One of the main factors affecting Taiwan's foreign trade development is the exchange rate, especially the currency trend of NTD affects the gain or loss of the importers and exporters. Many factors that affect exchange rate movements have been individually confirmed, but the exchange traders are generally unable to accurately determine the exchange rate movements. This paper uses the moving averages of technical analysis as the basis for the exchange operation, through simple moving averages including weekly averages (5-day), monthly averages (20-day) and seasonal averages (60-day) of technical indicators in the period up to 15 years to operate the NTD/USD, Yen/USD and CNY/USD exchange rates, in order to find out whether the application of technical analysis in the foreign exchange markets is also a useful reference. Meanwhile, this paper also demonstrates whether there can be the same investment performance during the financial tsunami of the US subprime mortgage crisis. The main conclusions of the empirical study are as follows: 1. The results of using the three average line trading methods of weekly (5-day), monthly (20-day) and seasonal (60-day) in the operation of NTD/USD trading are of reference value. The moving average trading method of the monthly averages (20-day) is a better technical indicator for NTD/USD trading. In addition, during the financial tsunami, the effectiveness of the average line trading rules was not changed as the moving averages of the three frequencies are of reference value to NTD/USD operation. 2. The moving average trading method of the monthly averages (20-day) is of reference value and a better technical indicator for yen/USD long selling trading. The weekly (5-day) averages and seasonal (60-day) averages are of no reference value in the operation of Yen/USD. Second, the operational results during the financial tsunami period suggest that the weekly (5-day), monthly (20-day) and seasonal (60-day) averages had no reference vale for investment in Yen/USD foreign exchange trading. 3. The total return rate and sharp indicators are negative in the CNY/USD operation by using the weekly (5-day), monthly (20-day) and seasonal (60-day) averages, suggesting that the averages trading method has no certain reference value in the operation of CNY/USD. Both the operational results during and not during the period of financial tsunami, using the average line trading method in the operation of CNY/USD foreign exchange cannot lead to good investment performance. It is likely to have no reference value. The findings of this study can provide a reference to the competent authorities and foreign exchange traders.