產業區分搭配景氣循環對股價報酬影響之實證研究－以台灣50ETF為例

本研究利用Moving Average (MA)、Moving Volume (MV)與Moving Average Convergence/Divergence (MACD)三種技術指標，搭配組成共7種投資策略，並加入長期持有策略，合計共8種投資策略，試圖使用產業與景氣的劃分，針對元大寶來台灣卓越50證券投資信託基金 (台灣50ETF)個股，本研究的期間挑選2005年2月至2018年12月間，存續於台灣50ETF之個股標的和台灣50ETF為樣本，合計樣本標的共30檔個股與1檔ETF。本研究將照國家發展委員會所提供的景氣循環搭配研究設計將景氣劃分12個時段。並依照產業類別分為傳產、電子與服務金融三個產業。希望能透過劃分景氣的多頭與空頭以及產業差異，試圖尋找更佳的投資策略。本研究將使用EXCEL搭配Visual Basic for Application (VBA)程式語言，設計回測程式進行回測，本研究統整發現以下幾點狀況：一、雖然技術分析下長期投資依然為最好的投資策略，但搭配景氣循環的時間區隔，能使獲利表現更佳。二、單一技術指標容易產生虧損，搭配兩種以上技術指標獲利較為穩定。三、技術指標在大多數服務金融個股容易產生技術無效的狀況。此結果可能跟產業本身結構有關，由於金融服務本身的資金來源都並非公司自己的，使公司更容易遇到外在因素，如政治因素、匯率因素、國際市場之影響。四、上漲趨勢明顯時市場偏愛電子業，下降趨勢明顯時市場偏愛傳產業。而服務金融業對市場而言只是資金的避風港和分散風險部位的產業。

關鍵字

景氣循環；技術分析；台灣50ETF

並列摘要

This study uses Moving Average (MA), Moving Volume (MV) and Moving Average convergence/divergence (MACD) Three technical targets, paired with a total of 7 investment strategies, and added a long-term holding strategy, A total of 8 investment strategies in the joint plan, Trying to use the business and the atmosphere of the plan, the yuan to Taiwans excellent 50 Voucher investment trust Fund (Taiwan 50ETF) unit, the period of this study to choose between February 2005 and December 2018, to continue on the Taiwan 50ETF stock target and Taiwan 50ETF as the same, A total of 30 files and 1 file ETFS with the same target. In this study, the landscape plan will be divided into 12 time periods according to the visual environment matching provided by the Committee of the Chinese Society. And according to the industrial category as a product, electronics and service finance three industrial. Hopefully, youll find a better investment strategy by looking at the multiple heads and empty heads of the plan and the differences in the production of the product. This study will use EXCEL with the Visual Basic for Application (VBA) program language to design the back test program, In this study, the following points are found: First, although the growth of investment in the long term is still the best investment strategy, but with the atmosphere of the time zone, can make the benefit of the better. Second, the single technology of the target is easy to produce thanks damage, with two or more technical targets to gain more stability. Third, the technical index in most services financial stocks are easy to produce technical and inefficient situation. This outcome may have to do with the structure of the enterprise itself, since the financial services themselves are not the source of the companys own, making it easier for the company to encounter external factors, such as political factors, the rate factor, the impact of the international market. Four, on the double trend the obvious time of the market to love the electronics business, the decline of the trend of the market is the scene of the love of the industrial. And the service financial profession is only a gold haven for the market and an industrial part of the scattered dangerous parts.