臺灣博碩士論文加值系統

匯率經濟是國際經濟學者主要研究的課題之一，經濟學家從經濟
基本面來分析匯率，然而許多學術文獻實證研究發現，傳統經濟理論模型之預測能力並不顯著，形成匯率經濟決定理論之Puzzle。因此，有些學者開始嘗試用市場微結構(Microstructure)來研究匯率之波動。無論是基本分析、市場微結構或是技術分析，其最終目的都是想要解答同樣一個最根本的問題：匯率是否能被預測？
本文從技術分析的觀點，利用程式交易進行回溯測試。研究期間
為1986年至2005年，對11種貨幣之匯率日資料，選用8種技術分析常用的技術指標：移動平均線(MA)、指數平滑異同平均數(MACD)、隨機指標(KD)、相對強弱指標(RSI)、動量指標(MTM)、停損點反向操作指標(SAR)、趨向指標(DMI)、通道突破指標(Channel)，實證研究分析發現：1.順勢交易系統優於區間交易系統。2.利用技術分析無法獲得超額報酬。因此，外匯弱式效率市場成立。

The economics of exchange rates is one of the primary focuses of international economists, who analyze the foreign exchange rates from the fundamentals of economics. Many academic literatures and empirical studies, however, indicate the prediction ability of traditional economic models is not significant. The observation becomes the puzzle of the exchange rate determination. Therefore, other scholars began to attempt to examine exchange rate fluctuation via the market microstructure theory. Whether it is fundamental analysis, market microstructure or technical analysis, the ultimate purpose is the same – to answer one most basic question: Can the foreign exchange rates be predicted?

From the perspective of technical analysis, this study conducts back testing through program trading systems. The period of study spans from 1986 to 2005. For the daily exchange rate data of 11 currencies, 8 frequently used technical analysis indicators are selected: MA, MACD, KD, SAR, MTM, SAR, DMI and Channel. Findings of the empirical analysis indicate: 1.The trend-following trading systems is superior to the range trading systems. 2. Technical analysis is cannot help obtain excess returns. Therefore, the weak form foreign exchange market efficiency stands.

第一章 導論 …………………………………………………… 1
第一節 研究動機與目的 ……………………………………… 1
第二節 研究架構 ……………………………………………… 3
第二章 文獻探討 ……………………………………………… 4
第一節 匯率均衡理論與匯率預測模型 ……………………… 4
第二節 外匯市場效率性 ……………………………………… 4
第三節 外匯市場技術分析 …………………………………… 6
第四節 基本分析與技術分析之比較………………………… 7
第三章 研究方法 ……………………………………………… 9
第一節 研究資料與期間 ……………………………………… 9
第二節 本文所使用的技術指標 ……………………………… 9
第三節 指標的操作與績效的計算 …………………………… 11
第四章 各項技術指標之實證結果 ……………………………… 13
第一節 移動平均線之實證結果 ……………………………… 14
第二節 指數平滑異同平均數(MACD)之實證結果 …………… 20
第三節 隨機指標(KD)之實證結果 …………………………… 23
第四節 相對強弱指標(RSI)之實證結果……………………… 26
第五節 動量指標(MTM)之實證結果…………………………… 29
第六節 停損點反向操作指標(SAR)之實證結果……………… 32
第七節 趨向指標(DMI)之實證結果…………………………… 35
第八節 通道突破指標(Channel)之實證結果………………… 38
第五章 投資組合之實證結果 …………………………………… 44
第一節 單一貨幣之長期操作績效 …………………………… 44
第二節 投資組合之長期操作績效 …………………………… 56
第六章 結論與建議……………………………………………… 58
第一節 金融資產報酬之比較………………………………… 58
第二節 最佳投資績效之技術指標 …………………………… 60
第三節 結論與研究建議 ……………………………………… 63

參考文獻 ………………………………………………………… 66
附錄一 中英文貨幣名稱對照表 ………………………………… 68
附錄二 中英文技術指標名稱對照表 …………………………… 69
附錄三 本文技術指標投資績效計算之釋例 …………………… 70

中文部分

1.陳建文(1994)，「技術分析指標應用於外匯投資之獲利性檢定」，國立台灣大學財務金融研究所碩士論文。

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