本文利用MA、KD、MACD三種台指近月指數的技術指標,分析當技術指標出現多方或空方訊號時,對台指近月指數的變動,進而判斷是否能應用在實際投資上,研究的天數變化則設定在三日內,也就是當技術指標出現訊號當日的後兩日與訊號出現時的台指近月指數變化,以正報酬或負報酬總和來探討三種技術指標何者對台指近月指數的變動最為明顯。 本文的實證結果顯示,三種技術指標只有KD有顯著的正向關係,此技術指標較高敏銳度的特性,在台指近月指數起伏較頻繁時,也能有比較精準的預測,而在大盤波動大的前提之下,MA及MACD容易受到此波動影響,產生錯誤的預測,導致投資結果帶來負報酬,所以這兩種技術指標對台指近月指數的分析能力較不適合應用在台指近月指數這種短時間內波動較大的金融商品。
This thesis employs three kinds of technical analysis method to measure the Taiwan stock futures market. When appear the long signal or short signal in different technical analysis method,measure the rate of return and see which one is more precision. The data selected in three days period,when signal arise and then choose the data two days later. See the rate of return is positive or negative,and figure out the most efficient method. According to the empirical result,there are only one method that has positive effect. Because of the high sensitivity that KD method has,when Taiwan stock futures market fluctuation,KD shows more accurate prediction this thesis want. MA and MACD are easy to change from the fluctuation of Taiwan stock futures market. Make the negative return so these two method are not suitable for prediction trend in the future.