本研究之目的在於以統計方法驗證移動平均線對於股市投資之效用,並以台灣50指數成分股作為驗證之標的。移動平均線是證券投資中最常用的技術法則,它代表了給定時間內的平均值,此平均值將隨時間之移動而變化,連之而成之曲線辯稱之為移動平均線,本論文中所要驗證之移動平均線包含了5日, 10日及20日之移動平均線。本文所使用之買賣點策略為當價格由下向上穿越移動平均值為買點,反之當價格由上向下穿越移動平均值為賣點,本文所使用之價格為收盤價,驗證期限由2008年1月 1 日至2012年12月31日。驗證方式為將所有買賣交易後之利潤以統計方式驗證其是否具有顯著性,驗證結果證明了移動平均線在本文之策略下所得的獲利具有顯著性,即使在空頭市場上仍具有顯著之獲利,所驗證之交易也包含了交易成本在內。 關鍵字: 移動平均線,技術分析, 統計檢定.
Abstract The main purpose of this thesis is to test whether the most popular technical indicator – the simple moving average can predict the stock price movement and that could be used as a way to invest in the Taiwan Stock Exchange. The moving average is the most reliable and most popular technical indicator representing an average in a different time intervals. Three different moving averages, 5-day, 10-day, 20-day are tested to verify the effectiveness of the proposed model. It points out the signal to buy when price rises above the moving average and the signal to sell when the price falls below the moving average. This research uses the closing prices for Taiwan Stock Exchange; the data sets are sampled for 5- year period from January 1st 2008 to December 31st 2012. The price history used in the analysis for all 50 stocks was downloaded from Yahoo, Finance website. Daily index closing price is used in this research. Moreover, the statistic test to test is used effect of performance of Simple Moving average indicator. The empirical evidence leads to the inference that Simple Moving Average is a significant tool of investing at Taiwan Stock Exchange. The result shows that all performances of the moving average method for most time intervals can give significant support for investor to make profit and the entire test statistics are of the correct sign. This indicates that the introduced model is effective even in the bear market, based on observed historical security price data. Transaction costs were also considered in the evaluation of the computation. Key words: Moving averages, Technical analysis, Statistical test, transaction costs.
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