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  • 學位論文

長期移動平均線結合反向交易策略的應用-以台灣50成分股為例

The Combination of Long-term Moving Average and Contrarian Trade Strategies- the case of Taiwan 50 Index Constituents

指導教授 : 陳庭萱
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摘要


本研究以長期移動平均線和5種乖離率的參數,組合成反向交易策略來檢測投資部分台灣50指數成分股之績效。研究期間為 2006年至2019 年,共13年,研究樣本為前述期間均被納入「台灣50指數」的35檔成分股,先按產業大致區分成科技、金融與傳產三大類股,再將採用反向交易策略(策略1-1~策略1-5)與買進並持有策略(策略2)所獲得的年化報酬率加以比較。實證之結果顯示,樣本中多數金融股與少數科技股,依據反向交易策略來投資獲得的年化報酬率顯著優於買入持有的年化報酬率。但對於買進持有至到期日年化報酬率可高達7.9%以上的藍籌股則以買進持有的策略才可以獲得較佳的投資報酬。

並列摘要


In this study, long-term moving average and 5 parameters of bias ratio are combined into some contrarian strategies to test the performance of investment in some of the constituents of the Taiwan 50 Index. The study period is from 2006 to 2019. The sample data is 35 constituents that are included in the Taiwan 50 Index during the aforementioned period. The samples are seperated into financial stocks, technology stocks and conventional industry stocks according to industial type. The researcher compares the annualized rate of return on investments obtained by using strategy of contrarian trading and buy-and-hold strategy. The empirical results show that among the majority of financial stocks and the minority of technology stocks of the sample, the investment performance of trading is significantly better when using the strategy of contrarian trading than using buy-and-hold strategy. However, the researcher finds that when buying some blue chips till maturity with annual return 7.9% or more, in order to obtain better return on investment, using buy-and-hold strategy is needed.

參考文獻


國內文獻:
王明昌、朱榕屏、王弘志(2010),“台灣股市不存在中期動能效應”, 《東吳經濟商學學報》,68,91-120。
安芷誼(2005),“技術分析對台灣股票市場投資績效之探討-移動平均線法”, 銘傳大學國際企業學系在職專班碩士論文。
李依靜(2004),“反向策略的績效與獲利成因”, 國立成功大學企業管理研究所碩士論文。
周建忠(2000),“投資期間與反向投資策略績效評估”, 國立中央大學財務管理研究所碩士論文。

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