台灣股票技術分析投資績效實證研究：以KD指標、MACD指標、BBands指標為例

本研究主要以：KD指標、MACD指標及BBands為基礎分析台灣股市的可行性，以三種基礎技術指標組合成十八種操作策略，實證研究分析是否能以技術分析在台灣股市中獲取超額報酬。本研究選定台灣上市公司「臺灣中型100指數」成分股做為研究樣本，研究期間為2009年1月5日至2018年12月28日止。研究實證結果如下：一、十八種策略中有效的九種策略操作績效有八種為正績效，一種為負績效。二、複合指標參數及複合指標策略投資績效小於10%，複合型指標參數無法提升績效，單一指標為正確的選擇。三、交易策略實證結果投資報酬率大於無風險報酬，但無法超過「中華電信」的投資報酬率。四、設定停損點有助減少投資風險。五、台灣股票市場不具有弱式效率性。

關鍵字

技術分析；隨機指標；指數平滑異同移動平均線；布林通道；停損

並列摘要

In this study, technical indicators, Stochastic Oscillator (KD), Moving Average Convergence/Divergence (MACD) and Bollinger Bands (BBands) were used for the analysis of the Taiwan stock market. With three basic technical indicators and eighteen different operating strategies, empirical technical analysis is used to help obtain excess profit from the Taiwan stock market. This study used firms listed in Taiwan 100 Mid-Cap Index as research samples with the sample period between 2009/01/05 and 2018/12/28. Empirical results are as follows: 1. Nine effective strategies of eighteen operating strategies, eight strategies are positive performances and one is negative performance. 2. The composite indicators and parametric investment performance are less than 10%, too many composite indexes and parametric cannot improve operating performances, the single index is the right choice. 3. The empirical result of operating strategy, the return on investment is higher than the risk-free compensation but cannot exceed the return on investment of Chunghwa Telecom. 4. Setting stop loss can help reduce investment risks. 5. Taiwan Stock Market does not comply with weak form of efficient market hypothesis.