本文探討五個常用的技術分析指標-移動平均線(MA)、隨機指標(KD)、相對強弱指標(RSI)、聚散指標(MACD)以及乖離率指標(Bias)應用於台灣股票市場時之報酬、風險以及績效,並與同時期之加權股價指數的表現加以比較,實證期間為2009年1月1日至2014年9月30日,使用日資料並以台灣所有上市上櫃普通股作為投資標的。實證結果顯示,就樣本期間之累積報酬率而言,以RSI指標(183.52%)以及MACD指標(90.67%)最高;就相較於大盤報酬率的勝率而言,仍以RSI及MACD指標表現最佳,各有約三分之二的實證期間,其報酬率是超越大盤。就平均報酬率而言,以RSI指標的月報酬最高(1.42%),而KD指標最低(-1.49%),五個指標中有二個指標(RSI、MACD)的月報酬超過同時期的大盤。以投資的風險而言,RSI指標的標準差最高(5.62%),MA指標的標準差最低(2.45%),五個指標中有二個指標(RSI、MACD)的投資風險超過大盤。以夏普指標(Sharpe Index)所衡量的投資績效而言,Bias指標的表現最佳(0.9076),KD指標的表現最差(-1.5458),五個指標中,有三個(RSI、MACD、Bias)的夏普指標超過大盤。結果顯示,技術分析應用於台灣股票市場是有效的,台灣的股票市場並不符合效率市場假說
The purpose of this study is to examfive commonly used technical analysis indicators - Moving Average (MA), the Stochastic (KD), the relative strength index (RSI), and Moving Average Convergence Divergence (MACD) and the deviation rate index (Bias) applies when the Taiwan stock market remuneration, risk and performance, and compared with the performance in the same period of the weighted stock price index for investor information. In this paper, empirical period of January 1, 2009 to September 30, 2014, using the Japanese data and all of Taiwan's publicly traded common shares as an investment target. The empirical results show, on the cumulative rate of return in terms of the period of the sample to the RSI (183.52%) and MACD indicators (90.67%) Highest; it compared to winning the broader market in terms of rate of return, RSI and MACD indicators still show better, each about two-thirds during the demonstration, which is beyond the market rate of return. On average pay rates, the monthly RSI indicator highest paid (1.42%), while the lowest KD index (-1.49%), five indicators There are two indicators (RSI, MACD) monthly remuneration of the broader market over the same period . Venture capital is concerned, the highest standard deviation (5.62%) RSI indicators, the lowest standard deviation (2.45%) MA indicators, five indicators have two indicators (RSI, MACD) investment risk than the market. In Sharp indicators (Sharpe Index), as measured in terms of investment performance, the best performance Bias index (0.9076), the worst performance indicators KD (-1.5458), five indicators, there are three (RSI, MACD, Bias) Sharp indicators over the market. The resultsof this paper show that technical analysis is applied to the Taiwan stock market is efficient. Results of this study also show that Taiwan's stock market is not in line with the EMH (Efficient Market Hypothesis).