技術分析對期貨市場價格衝擊之影響

The Effects of Technical Analysis on Price Impact of the Futures Market

麥啟倫(Chi-Lun Mai)

指導教授 ： 陳業寧

國立臺灣大學/管理學院/財務金融學研究所/博士(2015年)

https://doi.org/10.6342/NTU.2015.02458

摘要

有許多關於技術分析的文獻已經證實技術分析的可行性，然而能否真正運用在實務中的考量為實際交易成本的高低。這類問題是自營部交易員最關心的議題，由於自營部交易量頗大，可視為價格決定者，故在思考交易策略時必須考慮行動與市場交易成本之間的互動關係。本研究不討論技術分析之績效，僅觀察技術分析訊號發生前後的短時間內，市場交易成本的變化，探討技術分析對於市場流動性的貢獻，並提供交易成本的訊息給投資人參考以演繹出交易策略。實證結果顯示：技術分析訊號發生前後，交易成本顯著下降，且賣出訊號比買進訊號的效果更為明顯。

關鍵字

交易成本 ； 技術分析 ； 移動平均線 ； 成交量 ； 價格衝擊

並列摘要

The feasibility of technical analysis has been verified by academic studies. However, in practical, whether it will be applied is decided by how much the transaction cost is. Owing to making large volume in very short time, dealers can be considered by price maker in the market. Therefore, they have to take into account the relation between the actions and costs of transaction when they formulate transaction strategies. This study focuses on changes of transaction costs before/after technical analysis signals. By studying the contribution of the technical analysis on market liquidity, we can offer the information of changes of the transaction costs from which we can be deduced the trading strategies, instead of the performance of technical analysis. Our results suggest that transaction costs significantly drop before/after technical analysis signals appear, especially when the short signals happen.

並列關鍵字

transaction costs ； technical analysis ； moving average ； volume ； price impact

參考文獻

詹場、謝俊魁. (2012). 上海、台灣及深圳股市之交易成本比較. 2012台灣財務金融學會年會.

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Andrew W. Lo, Harry Mamaysky, Jiang Wang. (2000). Foundations of Technical Analysis: Computational Algorithms, Statistical Inference, and Empirical Implementation. The Journal of Finance, 55(4), pp. 1705-1765.

Andrew W. Lo; A. Craig MacKinlay. (1988). Stock Market Prices do not Follow Random Walks: Evidence from a Simple Specification Test. The Review of Financial Studies, 1(1), pp. 41-66.

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