本研究使用民國97年到101年台灣指數股票型基金(ETF)作為研究樣本並利用移動平均線的概念發展一套交易策略期望能夠提高報酬率,並進而打敗大盤。 本研究其交易策略係運用移動平均線法、跳空及反向投資策略原則,作為買進及賣出之策略,實證結果發現,買入持有(Buy and Hold)台灣50指數股票型基金於(2008/01/02起至2012/12/28)的年化報酬率與大盤相差不多,分別為-2.19%與-1.55%。而本研究利用移動平均線法發展出之交易策略,在研究期間內總共有7次買入時點,相對另有7次賣出時點,本研究買入賣出之期間報酬率分別為17.09%、83.31%、30.26%、3.30%、15.70%、12.88%、6.90%,而累積總投資報酬率為20.49%,換算為年化報酬率為3.80%,明顯高於大盤(即是以買入持有台灣50指數股票型基金)年化報酬率-1.55%。 據本研究之實證結果指出,初步證實技術分析在台灣資本市場有一定的操作價值及發展空間,並非如同其他先進國家資本市場因具有相當的效率性而致使技術分析的價值有限。
This study adopt the technical analysis method of “Moving Average” to develop the criteria as the investment decision-making approach to identify the “Gap” as the buying in or selling out opportunities in the Taiwan Stock Market. In this research, the time horizon for our empirical study was from Jan. 20th, 2008 to Dec. 28th, 2012 of the daily data of Taiwan 50 Index ETF, follow the investment criteria from our research results, there were 7 times to buy in and then to sell out the ETF. The returns of each to buy in and then to sell out the ETF were 17.09%, 83.31%, 30.26%, 3.30%, 15.70%, 12.88%, and 6.90%, respectively. As the cumulative return from our approach was 20.49% in this time horizon. However, we assumed to adopt the buy and hold strategy with the time horizon to invest the Taiwan 50 Index ETF, the return was -7.49%. Obviously, our investment decision-making approach might achieve a better return than Taiwan stock market portfolio. Thus, we suggest using the moving average of technical analysis method to identify “gap” as the investment decision-analysis approach might provide some useful information content to the investors.