技術指標應用於台灣股票指數期貨與現貨之研究

本研究旨在探討技術分析應用於台灣股價指數期貨與現貨之有效性，以常見技術分析指標「移動平均線MA」、「隨機指標KD」、「相對強弱指標RSI」、「指數平滑異同移動平均線MACD」為操作工具，使用技術指標的黃金交叉買進訊號與死亡交叉賣出訊號作為進出買賣的依據，以檢驗其交易策略能否具備穩定的獲利能力。本研究使用2000年1月1日至2009年12月31日間台灣股價指數期貨 (台指期、電子期、金融期)日資料為研究標的，逐一模擬檢測各技術指標之獲利能力。此外，於樣本期間內再細分前後各五年的時間，分別為(2000/1/1~/2004/12/31)與(2005/1/1~/2009/12/31)，以驗證技術分析對股價指數期貨獲利性之穩定性。本研究之實證結果說明如下：一、在全樣本期間，台灣加權股價指數期貨，四大指標當中以移動平均線族群的總損益績效表現最佳，而在電子類股價指數期貨方面，僅有MA90及MA120獲得正報酬，最後我們觀察到若投資標的為金融類股價指數期貨，其中移動平均線族群與MACD指標表現相對較為為理想，此結果與張清良(2008)之研究結論相呼應。二、在穩健性測試結果上，技術指標不會因為時間長短而影響到台股加權股價指數期貨與電子類股價指數期貨之操作績效。顯示技術指標應用於台指期與電子期有較穩定之優勢，且皆以MA指標群的績效最好。三、本文發現，利用移動平均線操作股票指數現貨，其投資報酬率會隨著投資期間愈長逐年遞增。四、在本文實證中利用MA綜合指標進行操作，新指標乃將投資人之資金建立於不同天期之MA指標以分散風險，當持有的期間愈長，其獲利並未因交易成本而有所減損，顯示MA综合指標值得投資人參考使用，以作為進出市場之依據。

關鍵字

技術分析；股價指數；移動平均線法

並列摘要

The purpose of this study was to investigate the effectiveness of applying technical analysis to stock index futures and spots in Taiwan. Common technical analysis indicators, such as the moving average (MA), stochastic oscillator (KD), relative strength index (RSI), and moving average convergence-divergence (MACD) were used as operational tools. The golden cross buy signals and the death cross sell signals of the technical indicators were used as a basis to determine buy/sell movements, in order to examine whether this trade strategy has stable profitability. This study used daily data on stock index futures (Taiwan stock index futures, electronic index futures, and financial index futures) in Taiwan from Jan 1, 2000 to December 31, 2009 for research. The profitability of each technical indicator was simulated and tested. The sample period was also further divided into two five-year periods (2000/1/1~/2004/12/31 and 2005/1/1~/2009/12/31), in order to verify the stability of the technical analysis with regard to the profitability of stock index futures. The empirical results are as follows: 1. During the entire sample period, the MA group of Taiwan stock index futures showed optimal performance.With regard to electronic index futures, only MA90 and MA120 showed positive return. We observed that if the investment objective was financial index futures, the MA group and the MACD index performed relatively well. This result is consistent with the research conclusion of Zhang (2008). 2. The results of stability tests showed that length of time does not cause technical indicators to influence the operational performance of Taiwan stock index futures and electronic index futures in Taiwan. This shows that technical indicators offer the advantage of greater stability when applied to Taiwan stock index futures and electronic index futures. The MA index group demonstrated optimal performance. 3. This study found that when using MA to manipulate stock index spots, the rate of return on investment increased as the length of the investment period increased. 4. This study used the integrated MA indicator in an empirical application. The new indicator builds the investor’s funds on MA indicators with different time spans to spread out risk. Even when these funds were held for an increasingly long period of time, the profit was not reduced by transaction costs. Therefore, the integrated MA indicator can be referred to by investors as a basis for deciding when to enter or leave the market.