整合基本、技術及籌碼面建構台股投資策略

Integration of Fundamental, Technical and Chip Factors to Construct Taiwan Stock Investment Strategies

韓聖弘(Shen-Hong Han)

指導教授 ： 李維平

中原大學/商學院/資訊管理研究所/碩士(2015年)

https://doi.org/10.6840/cycu201500685

摘要

一般而言，股票分析方法分為基本分析、技術分析及籌碼分析三種。三派皆有其理論依據，亦各有相當多學術研究深入鑽研，但三者兼備的則較為少有，本研究結合基本分析、技術分析與籌碼分析，進行較為廣泛面向的研究。

本研究以基本面指標、技術面指標及籌碼面指標為研究變數，研究期間自2007年至2014年第一季，以臺灣所有上市股票為研究樣本，本研究將先進行過去較少見的財務指標之間的分類，結合基本面、技術面以及籌碼面選股模式的精髓，建立台股投資組合。 研究發現選擇台灣50中型100較上市櫃前20%更適合做為回測範圍，而利用排序幾何法會比使用排序加總法來的佳，而多面向各選一個指標能夠得到不錯的績效，而最佳選股比例為10%。

關鍵字

基本分析、技術分析、籌碼分析、價值型選股、成長型選股、投資組合

並列摘要

In general, stock analysis methods are divided into fundamental analysis, technical analysis and chip analysis. There are not only theoretical basis of the three analysis methods, but several academic studies to delve deeply into the research, yet to combine with all analysis methods is rare. Therefore, the study as follows conducts more extensive oriented research which is inclusive of fundamental analysis, technical analysis and chip analysis.

In this study, fundamental indicators, technical indicators and chip indicators are for the study variables, and the study period is from the first quarter of 2007 to 2014, with all listed stocks in Taiwan stock market as research samples. The study will be carried out financial index classification, which is not often being used before, and combine the stock selection model essence with fundamental indicators, technical indicators and chip indicators to establish Taiwan's stock investment portfolio.

The study shows that choosing Taiwan 50 Medium 100 is more suitable for a back-testing range than choosing the 20% pre-stock on Stock Exchange Market or Over-the-counter. If you use geometric figures sorting method would be better than use sum figures in sorting method, more for each option can be a good indicator of performance, and the best stock ratio of 10%.

並列關鍵字

fundamental analysis, technical analysis, chip analysis, value stock, growth stock, investment portfolio

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