台股市場之技術分析研究── 以台灣五十指數成份股為例

The Research of Technical Analysis For the Taiwan Stock Market : Evidences from Constituent Stocks of TWSE Taiwan 50 Index

林曉妍(Hsiao-Yen Lin)

指導教授 ： 張龍福

國立臺北商業大學/財經學院/財務金融系（所）/碩士(2022年)

摘要

本研究以2020年至2017年的台灣五十指數成份股為例進行技術分析，並利用程式軟體進行股票買賣交易，建立具有股價與成交量結合之複合指標交易策略，探討複合指標策略之投資報酬率、勝率、獲利因子，是否有效打敗單一指標策略及台灣五十指數。本研究建立單一指標策略一 ( MACD )、策略二 (威廉指標)、策略三 (布林通道)、策略四 (倍數成交量)，複合指標策略五 (MACD+倍數成交量)、策略六 (威廉指標+倍數成交量)、策略七 (布林通道+倍數成交量)，並透過單一樣本 t 檢定與成對樣本 t 檢定的實證結果發現，複合指標策略五、策略七的勝率和報酬率和獲利因子在2020年、2019年、2017年皆顯著高於單一指標策略；複合指標策略六的報酬率在2020年、2019年、2017年不但顯著高於單一指標策略，也顯著高於台灣五十指數。

關鍵字

台灣五十指數成份股 ； 技術分析

並列摘要

This research takes the constituent stocks of the Taiwan 50 Index from 2020 to 2017 as an example, and uses program software to conduct stock trading transactions, establish a composite index trading strategy that combines stock price and trading volume, and explore the Rate of return , Win rate , Profit Factor , whether it is effective to beat the single indicator strategy and Taiwan 50 Index. This study uses the empirical results of single-sample t-test and paired-sample t-test to find that the win rate of composite index strategy 5 and strategy 7 is significantly higher than that of single index strategy in 2020, 2019, 2018, and 2017. However, the return and profit factor of compound indicator strategies 5 and strategy 7 are only significantly higher than those of single indicator strategies in 2020, 2019 and 2017. In addition, the return of the compound indicator strategy 6 is not only significantly higher than that of the single indicator strategy in 2020, 2019 and 2017, but also significantly higher than that of Taiwan 50 Index.

並列關鍵字

Constituent Stocks of TWSE Taiwan 50 Index ； Technical Analysis

參考文獻

英文文獻 :

1. James (1968), “Monthly Moving Averages: An Effective Investment Tools ,” Journal of Financial and Quantitative Analysis, 3 , pp.315 – 326.

2. Epps T.W. (1975), “Security Price Changes and Transaction Volumes: Theory and Evidence,” American Economic Review, 65 , pp. 586 – 597.

3. Smirlock M., Starks L.T. (1985), “An empirical analysis of the stock price–volume relationship, Journal of Banking and Finance,” 12 , pp.31– 41.

4. Karpoff, J.M. (1987), “The relation between price changes and trading volume: A Survey,” Journal of Financial and Quantitative Analysis, 22 , pp.109 – 126.