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  • 學位論文

技術分析無用論?---以兩岸股市(週資料)實證分析

Is Technical Analysis Invalid? An Empirical Study Based on Taiwan And China Stock Market Weekly Data

指導教授 : 唐代彪
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摘要


過去數十年間,學術界一直秉持著技術分析無用論的說法,且在多篇論文的實證分析中顯示,大部份的結論是符合弱勢效率市場假說。因此,便蓋棺論定地解讀技術分析無用論。然此結果與筆者多年之研究結果不盡相符,乃流覽目前台灣大學總圖書館典藏的各校博碩士論文中與股市技術分析相關的畢業論文發現:幾乎百分之七十認定技術分析無效之論文,其所採用的資料時間週期幾乎都是日(daily)資料,這和實務界法人波段操作所採用的週(weekly)資料有很大的矛盾點。然理論需要和實務操作的結果相吻合,才具說服力和公信力;因此,筆者嘗試採用四種大家常用的技術指標(RSI、KD、MACD和MA)的週(weekly)資料,針對兩岸股市八種指數包括: (一)台灣加權指數和櫃檯指數 (二)上海綜合指數和上海A股指數及上海B股指數 (三)深圳綜合指數和深圳A股指數及深圳B股指數 再作實證分析之研究並採用偏多交易策略和兼賣空交易策略模擬實證,看改採週(weekly)資料的技術分析結果是否能產生超額報酬,證明其有效性並推翻過去學術界採用日(daily)資料的推論結果;另外,再驗證四種大家常用的技術指標(RSI、KD、MACD和MA)運用在兩岸股市八種指數上,企圖比較何者的準確度和報酬率最高,以供後續研究者和投資人參考運用。而獲致結論摘要如下: 第一、偏多交易策略和兼賣空交易策略的報酬率皆優於買進持有策略,產生超額報酬,證明採用週(weekly)資料的技術分析是有效性的,兩岸股市不符合弱勢效率市場假說。 第二、四種技術指標的準確度排序:依序為MA 100%、RSI 87.5%、MACD 81.25%、KD 68.75%。 第三、四種技術指標的報酬率排序: 1、在偏多交易策略下,依序為MA 235.51%、RSI 152.46%、MACD 124.2%、KD 113.03%。 2、在兼賣空交易策略下,依序為MA 370.29%、MACD 254.38%、RSI 235.41%KD 156.9%。 第四、四種技術指標(RSI、KD、MACD和MA)的交易次數最少且報酬率最高排序: 1、在偏多交易策略下,依序為MACD 交易11次報酬率124.20%、MA交易17次報酬率235.51%、KD 交易29次報酬率113.03%、RSI交易32次報酬率152.46%。 2、在兼賣空交易策略下,依序為MACD 交易11次報酬率254.38%、MA交易16次報酬率370.29%、KD 交易28次報酬率156.90%、RSI交易31次報酬率 235.41%。 第五、MA指標指標放諸兩岸股市(八種指數)中皆有效,無論是只作多策略或兼有賣空操作策略的報酬率皆優於買進持有策略的報酬率,準確率百分之百。 第六、四種指標的優劣順序是 MA、MACD、RSI、KD指標。除深圳股市僅有KD指標不太顯著外,其餘指標於深圳股市皆能明顯優於買進持有策略。四種指標運用在上海和台灣股市,無論是偏多交易策略或兼賣空交易策略的報酬率皆優於買進持有策略,證明兩岸股市不支持弱勢效率市場假說,四種指標的週資料都證明其有效性;由此可證,過去國內、外學術論文所採用的日(daily)資料作為統計單位的推論結果有待商榷。

並列摘要


Both long only and long/short strategy with reference of technical indicators with weekly data inputs generate excess returns comparing to buy-and-hold strategy. This would be considered as evidence that 1) technical indicators are helpful in enhancing investment returns, 2) Taiwan and China stock markets is not a Weak Form Efficient Market and 3) the use of daily transaction data in academic essays is inappropriate. Summary: In the past few decades, a number of empirical studies support the Weak Form Efficient Market Hypothesis and tend to conclude that technical analysis is useless. However, based on my multiyear observation of the stock markets, I have interesting findings which go against the academic conclusion. Particularly, about 70% of the Master and PhD degree essays in the Taiwan University Library which cover technical analysis in their studies use daily market data inputs while this is very different from the fact that in practice institutional investors use weekly market data as inputs for technical analysis. I try to use weekly data to verify the effectiveness of the most commonly used technical indicators (RSI, KD, MACD and MA). My study covers eight main equity indexes of Taiwan and China markets as below: 1、TWSE Index and OTC Index 2、Shanghai Composite Index and Shanghai A Share Index and Shanghai B Share Index 3、Shenzhen Composite Index and A share Index and B share Index) My empirical study includes two types of investment strategies, namely long only and long/short strategy, to exam whether these technical indicators will enhance investment returns, based on weekly transaction data. If these indicators do add value to generate returns, then this study could be considered as evidence that the use of daily data in the academic essays is inappropriate. Meanwhile, my study tries to rank which indicators (RSI, KD, MACD and MA) are more efficient in enhancing returns (in terms of return per transaction). Hopefully the study will be a good reference for further research of the academy and investors in the future. Below please find the conclusions. 1、Both long only and long/short strategy with adoption of technical indicators with weekly data inputs generate excess returns comparing to buy-and-hold strategy. The results suggest that technical indicators are valid in generating returns and Taiwan stock market is not a Weak Form Efficient Market. 2、The accurate ratios of these technical indicators are: MA 100%,RSI 87.5%,MACD 81.25%,KD 68.75%. 3、The investment returns by adoption of technical indicators: Only long only strategy: MA 235.51%,RSI 152.46%,MACD 124.2%,KD 113.03%. long/short strategy: MA 370.29%,MACD 254.38%,RSI 235.41%,KD 156.9%. 4、The frequency of the transactions and rates of investment return derived from the technical indicators: I)、long only strategy MACD: 11 times of transaction with return rate of 124.20% MA: 17 times of transaction with return rate of 235.51% KD: 29 times of transaction with return rate of 113.03% RSI: 32 times of transaction with return rate of 152.46% II)、long/short strategy MACD: 11 times of transaction with return rate of 254.38% MA: 16 times of transaction with return rate of 370.29% KD: 28 times of transaction with return rate of 156.90% RSI: 31 times of transaction with return rate of 235.41% 5、In terms of added-value of these four indicators, the ranking is MA, MACD, RSI, KD. For Shenzhen markets, all indicators with exception of KD add values to long only strategy. All these four indicators add values to long only and long/short strategies for all Shanghai and Taiwan Indexes. This would be considered as evidence that Taiwan and China equity markets are not Weak Form Efficient Markets. As the study is based on weekly market data and the results show that all these four indicators are valid to gnenerate returns, the study suggests that it's not appropriate to uses daily data as the input for academic study. 6、MA is 100% valid in generating excess returns for both long only and long/short strategies for all eight indexes covered by the study.

參考文獻


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被引用紀錄


張晏銘(2017)。台灣股票市場技術分析效用證實〔碩士論文,國立臺灣大學〕。華藝線上圖書館。https://doi.org/10.6342%2fNTU201700960
蘇姵勻(2015)。台灣股票型複製基金績效之實證研究〔碩士論文,國立中正大學〕。華藝線上圖書館。https://www.airitilibrary.com/Article/Detail?DocID=U0033-2110201614021185

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