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  • 學位論文

台灣股市效率市場之研究-以42日移動平均線為例

The Study on EMH for Taiwan stock market – the example of 42-day Moving Average

指導教授 : 聶建中
共同指導教授 : 沈中華(Chung-Hua Shen)

摘要


根據歷史的研究報告針對技術分析有效性,有許多研究對於買進持有策略是呈現顯著的效果,亦有呈現失敗的例子,似乎在各項研究報告中,研究期間長短、樣本標的、參數依據…等都會影響到最後的研究結果,所以在撰寫此論文之前提是此研究假設技術分析中的移動平均線(MA)對於台股是有效的,而且可以在長時間的操作中依選時的優異能力超越買進持有策略。 於是此研究對於文獻資料的比對與探討就更加著重於移動平均線的用法,將原來在市場慣用的移動平均線之參數稍做修正,以台灣股票市場上市、櫃公司共計189家為採集樣本,選股條件基礎以總市值前1、2名,週轉率前1、2名,績差而波動度高之前1、2名,選取樣本在同一產業以1~6檔為原則,資料期間自2002年1月2日至2012年1月18,以報酬率進行分類比對,以證實42MA操作策略可以超越買進持有策略,並在移動平均線的選時策略中,可以有效的選出最佳波段操作標的。 在此份研究中將42MA操作策略與買進持有取樣做比對,得到幾項論證結果: 一、以42MA操作策略的綜合績效可以得到優化的效果,勝過買進持有的綜合績效。 二、對於產業進入成熟期、衰退期、經營者的道德風險,在股價領先反應的狀況,42MA操作策略能有效避開下跌風險,維持穩定總報酬率。 三、對於低波動、穩定的EPS與股利政策、較高淨值者,執行買進持有策略,其績效會優於42MA操作策略。

並列摘要


According to the historical studies of the effectiveness of technical analysis, many studies for the buy-and-hold strategy present significant effects but also failures; It seems that in these studies : the duration, the sample of the objects, parameters ... etc., will affect the final results. So in this thesis, we assumed that technical analysis in moving average (MA) for the Taiwan stock market is effective, and is better than the strategy of buy-and-hold in long-running trading strategy with the selection of excellent ability. This study puts more efforts on the method of application of moving average (MA) , to modify the common usage on moving average (MA) parameters in the market. In the Taiwan stock market and the OTC market, there were 189 companies picked to be samples. The selecting conditions base on the total market value NO. 1 and NO.2, tier 1 and tier 2 on stock turnover rate, top 1 and 2 of high-volatility but underperformance. Each industry can be 1 ~ 6 samples, from January 2, 2002 to January 18, 2012. To improve that the 42-MA can outperform the strategy of buy-and-hold, and can select the optima stock effectively, we compared with the rate of return. In this research for the comparison between the strategy of 42-MA and the strategy of buy-and-hold , we had some conclusions: 1. The strategy of 42-MA can optima the rate of return more than the strategy of buy-and-hold. 2. The strategy of 42-MA can avoid the downside risk from the matured or recessional industries, proprietor of moral hazard, and keep the total rate of return stable. 3. The strategy of buy-and-hold can also outperform the strategy of 42-MA when the stock has low volatility, stable EPS and dividend policy, higher book value.

參考文獻


鄭家豪(2007),灰關聯雙移動平均線之應用研究以股票市場及金屬期貨為例,國立成功大學資源工程研究所碩士論文。
Brock, William, Josef Lakonishok and Blake Lebaron, 1992, “Simple Technical Trading Rules and the Stochastic Properties of Stock Return”, Journal of Finance, VOL.XLV, 5, 1731~1764.
Fama, E. F., 1970, “Efficient Capital Markets: A Review of Theory and Empirical Work” , Journal of Financial, 25,383~417.
Guanasekarage, Abeyratna and Power, David M., 2001,“The Profitability of Moving Average Trading Rules in South Asian Stock Markets”, Emerging Market Review, 2, 17~33.
Schwager, Jack D. 1999, Getting Started in Technical Analysis, John Wiley & Sons.

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林子焙(2014)。多空市場下主動式與被動式高股息股票投資組合之績效〔碩士論文,淡江大學〕。華藝線上圖書館。https://doi.org/10.6846/TKU.2014.00923
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林泳成(2014)。中價技術指標交易策略之實證研究-以台灣股價指數期貨為例〔碩士論文,國立臺北大學〕。華藝線上圖書館。https://www.airitilibrary.com/Article/Detail?DocID=U0023-2201201415562000

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