技術指標策略應用於加密貨幣概念股之研究

本研究分析加密貨幣與台灣相關概念股價格的關係，運用Detzel, Liu., Strauss, Zhou, and Zhu (2018).的移動平均線理論為基礎，將加密貨幣的移動平均線MA交易策略，應用在篩選的個股中並記錄其回報，因前10大資本額的加密貨幣在2015年後才有至少過半數的交易數據，故採用2015年1月1日至2019年12月31日的資料進行分析。首先探討加密貨幣價格與台灣挖礦產業鏈的關聯，觀察加密貨幣價格的變動是否影響台灣相關概念股票的價格，結果發現以太幣(ETH)的關聯性最高。隨後我們利用移動平均線來建構加密貨幣的動能交易策略，相較單純買進並持有的投資，採取移動平均線MA操作策略後，能顯著提升以太幣(ETH)的累積報酬率，最後我們將此策略，應用在篩選出來的12檔個股，跟隨以太幣(ETH)的操作時點，也同步買進或賣出，其中11檔個股的累積期間報酬都高於一般的買進持有策略。實證發現投資多數的台灣加密貨幣相關概念股，可以透過觀察加密貨幣中的以太幣(ETH)，並利用技術分析可以提高投資的報酬率，篩選的個股中只有台積電策略報酬低於一般買進持有，可能因本身是台灣加權股價指數的重要成份股，所以股價表現與台股指數的連動性較高，故若以參考加密貨幣走勢來投資個股，則可排除台積電作為持股。

關鍵字

加密貨幣；區塊鏈；台灣比特幣概念股

並列摘要

This study discusses the relationship between Cryptocurrency price and Taiwan’s Cryptocurrency stocks price. We followed the trading strategy of the moving average (MA). Then we recorded the return of Taiwan’s Cryptocurrency stocks. The analysis period was from January 1, 2015 to December 31, 2019. First of all, this paper observes whether the price change of cryptocurrency affects the price of related stocks in Taiwan. The result shows that ETH has the highest correlation. Then we use the moving average to construct the momentum trading strategy of cryptocurrency. Compared with the investment method of buying and holding. The MA operation strategy can improve the cumulative rate of return significantly. Finally, we apply this strategy to the 12 stocks screened out, following the timing of ETH to buy or sell. There are 11 stocks that returns are higher than buying and holding strategy. The empirical results show that when investing in most of cryptocurrency related stocks in Taiwan. We can observe the price of ETH, and use technical analysis to improve the return rate. The strategic return of selected stocks, only the TSMC is lower than that buying and holding strategic. Maybe TSMC is an important component of TAIEX, the performance is linked with the Taiwan stock index Therefore, if we invest stocks by referring to the trend of cryptocurrency, we can exclude TSMC as the shareholding.