依據技術指標投資臺灣 50 ETF 及其成分股

Investments in Taiwan 50 ETF and Its Components Based on Technical Indicators

王威能(Wei-Neng WANG)

指導教授 ： 劉曦敏

國立臺北大學/社會科學學院/經濟學系/碩士(2015年)

摘要

本研究利用國人常用的技術分析指標,KD 指標、RSI 指標、MACD 指標和 WMS 指標對台灣 50 ETF 和台灣 50 成分股進行投資操作,擬訂 17 項不同的交易策略,作為股票買進和賣出之依據,並在出 現買進或賣出訊號的隔天進行買進或賣出之動作,嘗試了解應用技術指標操作台灣 50 ETF 或台灣 50 成分股之績效是否有差異,再將台灣指數型基金績效納入比較,試圖找出對投資人最有利的投資 方法。研究期間則分為多頭和空頭期間,旨在探討利用同樣的交易策略是否會在不同的市場氛圍下, 得到不同或相同的結果。
實證結果發現以本研究所使用之技術分析指標而言,不論是多頭期間或空頭期間,操作台灣 50 成分股共 50 檔個股的投資績效皆不能顯著優於操作單一台灣 50 ETF 的投資績效,另外本研究亦發 現在多頭市場時,申購台灣指數型基金投資績效不僅能顯著優於利用技術指標操作台灣 50 成分股, 也能顯著優於利用技術指標操作台灣 50 ETF,也就是說在多頭期間,直接申購基金,交給專業經理 人操作可能是個好選擇。本文最後試圖找出台灣 50 成分股中較具有代表性之個股組合當作投資標 的,所以嘗試利用本研究擬定的交易策略對台灣 50 成分股最高價五檔個股以及三大類別產業(電 子、金融、傳產)龍頭股進行操作,實證結果顯示在多頭市場下,此兩種組合操作績效皆能顯著優於 操作台灣 50 成分股,但是空頭市場時,僅有三大類別產業龍頭股組合操作績效能顯著優於操作台灣 50 成分股,最高價五檔個股組合則否。

關鍵字

台灣 50 ETF ； 台灣 50 成分股 ； 技術分析指標 ； KD 指標 ； RSI 指標 ； MACD

並列摘要

This study employs four technical indicators, which are Stochastic Oscillator (KD), Relative Strength Index (RSI), Moving Average Convergence and Divergence (MACD), Williams Overbought/Oversold Index(WMS), to form 17 strategies to buy and sell Taiwan 50 ETF and its component securities. When a signal of buying or selling occurs, a transaction is presumed using the closing price of the security in the next trading day. The returns of different strategies are calculated after deducting transaction costs, and are compared. They are also contrasted to the benchmark returns of several Taiwan index mutual funds. In addition, performances of the four technical indicators are examined during both bullish and bearish market periods.
Some major findings of this study are as follows. First, investing in all 50 securities contained in Taiwan 50 ETF is no better than investing in Taiwan 50 ETF only. Second, in an upward trend, investing in Taiwan index mutual funds can earn significantly higher returns than investing in Taiwan 50 ETF or its component securities using signals of technical indicators. In other words, financial professionals generally outperform individual investors who apply technical indicators to the stock market during the bullish period. Finally, when combing the five stocks with the highest prices in Taiwan 50 as one group and a few representative stocks from electronics, financial, and conventional industries as another group, this study discovers that the returns of both groups are significantly higher than the returns considering all Taiwan 50 securities in the bull market, and only the latter group has better performances in the bear market using technical-indicator trading strategies.

參考文獻

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