透過您的圖書館登入
IP:3.89.163.120
  • 學位論文

技術分析之投資績效:葛蘭碧八大法則結合K線理論

Investment Performance by Employing Technical Analysis: the Combination of the Granville Rules and Candlestick Chart

指導教授 : 吳博欽

摘要


股票市場千變萬化,投資者紛紛利用不同的策略進行套利。一般常用於評估與分析股價的方式中,主要包含三個層面,即基本面、技術面、籌碼面,本篇論文試圖利用技術面的分析工具尋找適合的買進訊號及賣出訊號,並提升投資績效。技術分析工具是由每日的價格波動與每日的成交量所建構而成,而本篇論文主要採用的是以價格為主的分析工具。 本篇所採用的技術分析工具以葛蘭碧八大法則及K線理論為基礎。基本上,並進行修正。基本上,葛蘭碧八大法則使用價格波動與價格之移動平均(MA)之間的交互作用,分類出四個買進訊號及四個賣出訊號,本篇論文依此原則並加入 K線理論所取得的四個重要資訊: 最高價、最低價、收盤價及相對位置,最後建立買進或賣出的判斷準則,並依此進行投資驗證,以評估其是否較修正前及「買進持有」的操作策略有較高的投資績效。 實證上採用的樣本為台灣50成分股,樣本期間為2013年至2015年。實證結果顯示,單獨使用葛蘭碧八大法則的獲利能力及風險值都劣於各股買進持有的投資策略,然而在葛蘭碧八大法則加入K線理論的調整方式下,不僅獲利能力及風險值都優於買進持有的策略外,也勝過加權指數及台灣50指數的報酬率。

並列摘要


In stock markets, investors use different strategies to get arbitrage opportunities. The strategy tools frequently used in stock markets consist of three dimensions, i.e., the fundamental analysis, technical analysis, chip analysis. This paper attempts to construct a mixed technical analysis tools to find more suitable buying messages and selling messages for raising the performance of investment. Basically, technical analysis indices are set up by trading prices and/or trading volume. This study focuses on the trading price. This study combines the Granville rules with Candlestick chart to form an investment strategies tool. Granville rules use the price volatility and moving average (MA) line to find buying messages and selling messages. However, we add the four crucial messages from the Candlestick chart, i.e., the highest price, the lowest price, the closing price and relative position into the Granville rules. Finally, we compare the performance by employing these different investment tools. The study selects the component stocks in the Taiwan 50 Index as sample objects. The sample period spans from 2013 to 2015. The empirical results show that the profitability and risk from using the Granville rules alone are inferior to the investment strategy of buy and hold stocks. However, employing the strategy of the Granville rules combined with Candlestick chart, has higher profitability and lower risk than buy and hold strategy, and the strategies derived from the Granville rules.

參考文獻


5.陳宜里 (2001),「外資與產業結構轉變對股市報酬率之影響-基本面與技術面之綜合分析」,中原大學國際貿易學系研究所碩士論文。
1.Alexander, S.S. (1961), Price Movements in Speculative Markets: Trends or Random Walks in P Cootner, ed: The Random Character of the Stock Market Price, pp.199-218
2.Samuelson, Paul. A. (1965), Proof that properly anticipated price fluctuate randomly, Industrial Management Review 6, 41-49.
3.Lo, A.W. & MacKinlay, A.C. (1988), Stock Market Prices Do Not Follow Random Walks: Evidence from a Simple Specification test, Review of Financial Study, 1, 41-66
4.Cowles, A. (1993), Can Stock Market Forecasters Forecast?, Econometric. July, pp.309-324

延伸閱讀