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  • 學位論文

技術分析指標在最適投資組合上的應用—以主要的外幣交易為例

Application of technology indicators for the optimal portfolio —Evidence from main foreign currency exchange

指導教授 : 吳博欽

摘要


鑑於國際金融市場日漸自由化的影響,使得各國匯率變動趨於劇烈,匯率成為影響企業及個人投資中課題中相當重要的因素,同時也使得企業的價值及投資者的獲利,深受各國匯率波動影響。無論是企業或投資人都抱著夢想希望能夠預測價格的走勢來獲取報酬,學者專家長久以來一直嘗試探討匯率的變化規則,以做為進出匯市的依據。技術分析的投資策略於市場上之運用漸趨成熟,不可否認的,在金融界中幾乎與市場同在,及投資組合的概念雖可降低投資的風險,卻仍面對相當程度的投資風險。 本研究採用樣本為台灣外匯市場中上透過路透社換算的交叉匯率日資料,研究期間自西元2009年1月1日起至西元2009年12月31日止。針對投資組合理論及技術分析之報酬率績效與同期間大盤報酬率績效做一比較。在投資組合部分,將市場上主要的外幣列入可篩選投資組合的標的中,並應用Markowitz的效率前緣理論,決定最適投資組合的標的及其對應的權重。依據可篩選標的在過去一年、半年、三個月及一個月的報酬率進行選擇,以分別形成四種時期最佳投資組合。就技術分析部分而言,利用技術指標移動平均線、隨機指標、及趨向指標的交叉,以決定買賣時間點,並在過去一年、半年、三個月及一個月報酬率探討,進而衡量報酬率績效的優劣。 由實證結果得知,在投資組合的理論之下,以過去不同期間各外幣的投資報酬率與波動性作為篩選最佳投資組合的判斷依據,則長期(1年及6個月)而言,以澳幣為最佳的投資標的。在利用技術分析之下,均具有在盤勢震幅有較大幅度時績效優於大盤,空頭可以避免掉吞噬獲利的損失,但是當盤勢處在橫盤時,卻較大盤為差之特性。因此,在利用技術指標所產生的買賣訊號作為交易,將可有效獲得較大的投資報酬。

並列摘要


In view of the growing liberalization of international banking market, the exchange rates tend to fluctuate violently. The exchange rate becomes a very important factor for the corporate and individual investment. At the same time, fluctuations of the foreign exchange rates also deeply influence the value of the company and the profits of investors.Both corporate and individual investors dream to make profits by predicting price movements. Scholars and experts have been trying to find out the rule of changing foreign exchange rates and serve it as the basis for access to foreign exchange markets.To use the technical analysis on investment strategies is getting mature. Although the concept of the portfolio can reduce investment risk, the investors still have to face a considerable degree of investment risk. Our research gets cross exchange daily data in Taiwan market as sample from Thomson Reuters, cover period from January 1, 2009 to December 31, 2009. We compare the return under portfolio theory and technical analysis with the market return in the same period. In portfolio theory part, we use main foreign currencies as target investments and apply Markowitz efficient frontier to decide optimal weight accordingly. There are 4 optimal portfolios according to the past 1 year, half year, 3 months and 1 month respectively. In technical analysis part, we use the cross of technical analysis indicators, such as Moving Average, Stochastics and Directional Movement Index, to decide the timing of trading and discuss the return of the past 1 year, half year, 3 months and 1 month. The empirical results show that under the portfolio theory, we can use the various foreign currencies returns and volatility in the past different time periods as the basis of judgment for filtering the best portfolio. For example, the Australian dollar is the best target for one-year or six-month investment.We find that the characteristic of the technical analysis can help us to have a better performance in the fluctuant market, which can avoid huge loss to devour profits in the short market, but have a worse performance then average in the flat market.Therefore, the use of technical indicators for trading signals will be effective for a larger return on investment.

參考文獻


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