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  • 學位論文

以移動平均線探討投資趨勢

An Investigation of Investment Using Moving Average Technique

指導教授 : 黃俊平
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摘要


近年來利率走低,身處低利率時代,投資人該如何進行財富管理己漸漸成為一項重要的課題。股市因迅速交易及高報酬讓投資人躍躍欲試,但高風險也隨之而來,隨著人民生活水準的不斷提升和經濟的多元化發展,理財投資已漸漸成為決定和影響人們生活的重點,如果懂得如何規劃良好的理財投資,那麼將可能藉由操作好的投資策略使手上現有之資產轉化成一筆豐厚的財富,因此激發了本研究的好奇心,企圖能找出一套方法可以幫助投資人掌握股市的脈動,降低損失並且提高獲利。 本研究將台灣加權指數納為研究對象,以移動平均線這項技術指標,檢測是否可以應用於股市的多空循環並有相對的報酬,並企圖以移動平均線觀測台灣加權指數趨勢及配合設定買賣期限進行投資操作,測定當移動平均線為向上趨勢時(Bull),則進行買進,於設定買賣期限過後不論獲利與否均將其賣出,移動平均線為向下趨勢時(Bear),則進行賣出,於設定買賣期限過後不論獲利與否均將其買回,於此持續操作下,利用EXCEL VBA程式實施數據分析,檢測其是否能降低股價買賣成本、提升交易獲利機率,並用T檢定檢測是否具有顯著性;研究結果發現,以1997年7月2日至2015年2月27日之台灣加權指數為樣本,在本研究設定模式中進行買賣操作具有很高的獲益機率。在2008年金融海嘯數據分析中,研究結果顯示,以本研究模式操作下,仍有其獲利性。在2014年數據分析顯示,以MA10(雙週線)、MA20(月線)、MA60(季線) 等3條均線做為觀測指標,以本研究設定模式下進行買賣操作具有很高的獲益機率,且統計結果所得P-Value均極低,故具有極高的顯著性及參考性。

並列摘要


The finance management has gradually been an important issue in recent years due to low interest rate. The stock market is usually a popular choice of investment for general public. The popularity of stock market comes from the high investment return. However, any profit is always accompanied with risk for any kind of investment including stock market. So the management of invest strategy is critical to the performance of investment. An investigation of the moving average technique under different duration time is proposed in this research. The research object is Taiwan Stock Exchange Index, and the time domain covered in this research is from July 2, 1997 to February 27, 2015. Four different periods; 5-day, 10-day, 20-day and 60-day, are taken into account to analyze the effect of the moving average in both upward and downward trends. The research program is coded by VBA under EXCEL. The significance of the model is verified by T-test. The p-values obtained from this research are much lower than 0.001 that gives robust support to the proposed model.

參考文獻


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