MA交易規則在股票市場之投資操作與應用的兩篇文章

Two Essays on MA Trading Rules: Stock Markets Applications

李仁在(Jen-Tsai Lee)

指導教授 ： 倪衍森

淡江大學/商管學院/管理科學學系博士班/博士(2013年)

https://doi.org/10.6846/TKU.2013.01014

摘要

大多數的投資人或多或少會採用技術分析來交易股票。此外，個別投資者也往往會依照技術指標所發出的訊號來決定交易的時機。雖然技術分析在實務上廣泛地被採用，然而技術分析在學術研究上卻相當地的有限。因此，我們努力探討更多有關於技術交易規則，特別針對在技術分析中廣泛被使用的Moving Average (MA)交易規則。

本論文為探討與MA有關的二篇研究文章，第一篇為採用MA交易規則，並以三個相當具有代表性指數之成份股為研究標的，即道瓊工業指數、富時100指數、上證50指數之成份股，來探討投資人當MA交易訊號發出時介入是否有利可圖。其結果顯示，投資人於上證50成份股發出死亡交叉訊號時購入股票較為有利，此現象可能是由於中國個人投資者的從眾行為所致。本研究亦發現，當投資人介入黃金交叉且當日的漲幅越高之富時100與道瓊30成分股，則介入後之週報酬之負值會越大，此說明黃金交叉且當日的股價漲幅似有過度反應的現象。
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第二篇乃是以巴西，俄羅斯，印度和中國（金磚四國）的股價指數為研究標的，並探討投資者使用Variable-length MA(VMA)交易訊號出現時介入的有效性。其研究結果顯示若以整個研究期間來探討時，則發現投資人在VMA買入訊號發出時介入較賣出訊號發出時介入有較高的投資報酬率。然而若將研究期間分為金融危機前、金融危機期間來探討，則發覺金融海嘯前與整個期間的實證結果相一致，但海嘯前與海嘯期間有顯著的差異。是以若以全期的實證結果為結論，則無法分辨金融危機前和金融危機時期存有顯著的差異。

總之，由於全球國際化，自由化，技術創新的結果，本研究發現全球的股票市場日益趨近弱勢效率市場，如本論文之第一篇與第二篇文章中顯示，顯著的樣本並不多。但吾等認為技術分析仍有值得探討的空間，因為若技術指標在實務上無任何舉足輕重的地位，則實務上不應出現如此多與技術分析有關的資訊。

關鍵字

技術分析 ； 黃金交叉 ； 死亡交叉 ； VMA交易規則 ； 成份股

並列摘要

Most of market participants, more or less, might trade stocks in accordance with the technical analysis. In addition, individual investors often decide the trading timing in accordance with the trading signals emitted by technical indicators. Even though technical analysis are wildly employed in the real world; however, the technical analysis issues investigated seem to be limited in the academic aspects. Therefore, we endeavor to explore more information released from technical trading rules, especially in the Moving Average (MA) trading rules, which would be regarded as one of the popular trading rules in technical analysis.
Essay one employ the MA trading rules for investigating whether investors are able to make profits for the constituent stocks of three representative indices including the DJ30, the FTSE100, and the SSE100. The results show that market participants had better buy the constituent stocks of SSE50 as the dead cross presented, the phenomena might be caused by the herding behaviors for individual investors in China. Moreover, we reveal that the negative 5-days mean returns would be enlarged as the higher daily returns are shown in the golden cross days, which are emitted by the MA(5,20) trading rule for the constituent stocks of FTSE100 and DJ30. We infer that the results might be resulted from overreaction phenomena appeared in the golden-cross day.
In essay two, while analyzing the data periods including the pre-financial and financial crisis periods by Variable-length MA(VMA) trading rules, the results show that investors might make profits as buying signals rather than as selling signals shown for the Brazil, Russia, India and China (BRIC) stock markets. However, investors may find it difficult to make profits in a financial crisis period, since the significant results shown during the full period might not reveal the differences between the pre-financial and financial crisis periods.
In sum, we infer that due to the Internationalization, Liberalization, technology innovation in the worldwide share markets; therefore, the share market are quite close to weak market efficiency, as shown the few significant results presented in the essay one and essay two. However, we still deem that technical analysis issues are worthwhile for investigation, since if all of the technical indicators do not matter in the real world, then it is impossible so many resources related to technical analysis appeared in the web.

並列關鍵字

Technical analysis ； Golden cross ； Dead Cross ； VMA trading rules ； Constituent stocks

參考文獻

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