臺灣博碩士論文加值系統

本文研究期間自2003年1月17日自2007年1月16日止之台灣加權股價指數日資料994筆和台灣加權股價指數選擇權日資料買、賣權各18,698筆。主要在探討濾嘴法則運用於台灣加權股價市場和選擇權市場的績效情形，並藉此幫助投資人瞭解，當進行選擇權操作時，應以其衍生性商品的標的價格，亦或以選擇權本身的價格進行操作，對投資人的獲利績效較佳。
在實證中指出，在利用台灣加權股價指數選擇權為濾嘴法則進行操作時，在比較多頭和空頭策略之後，在選擇權部分有較明顯的優勢。而在選擇權操作策略上，不論是損益點數、損益率和獲勝率，皆以選擇權本身價格為濾嘴法則進行操作較具優勢。

This study employs filter rule to make the strategy decisions on investing result of TAIEX market and TAIEX Option market. And give way to investors comprehend when they invest in options, the investing result of considering underlying asset price or option price will be better. The sample period are from January 17, 2003 to January 16, 2007, includes the 994 daily data of TAIEX and the 18,698 daily data of TAIEX Option on the call and put options.
By considering the bull and bear market, the result shows that when investors make the strategy decisions with filter rule on TAIEX Option, options have predominance.

第一章 緒論 1
第一節 研究背景及動機 1
第二節 研究目的 3
第三節 研究架構及流程 4
第二章 文獻回顧 6
第三章 研究方法 19
第一節 濾嘴法則介紹 19
第二節 資料來源與樣本期間 20
第三節 研究樣本 20
第四節 操作策略 21
第五節 研究假設 22
第六節 績效衡量 23
第四章 實證結果與分析 24
第一節 以加權股價指數為濾嘴法則之交易策略操作加權股價指數 24
一、 多頭交易策略 24
二、 空頭交易策略 25
三、 小結 26
第二節 以加權股價指數為濾嘴法則之交易策略操作台指選擇權 26
一、 多頭交易策略 26
二、 空頭交易策略 28
三、 小結 30
第三節 以台指選擇權為濾嘴法則之交易策略操作台指選擇權 31
一、 多頭交易策略 31
二、 空頭交易策略 38
三、 小結 44
第五章 結論與建議 45
第一節 研究結論 45
第二節 研究建議 47
參考文獻 48
英文文獻 48
中文文獻 51

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中文文獻
1.李校德(2003)，未平倉量與價格波動性之關聯性，淡江大學財務金融研究所碩士論文。
2.林聲宇(2005)，應用決策樹與濾嘴法則於股票投資，國立交通大學工業工程與管理研究所碩士論文。
3.郭泰元(2000)，由甘氏角度線所形成之濾嘴法則檢測台灣股市弱式效率性以台股指數及個股股價為例，私立朝陽大學財務金融研究所碩士論文。
4.陳正榮(2001)，以濾嘴法則檢驗台灣股票市場弱式效率性之研究，高雄第一科技大學財務管理研究所碩士論文。
5.黃怡芬(2001)，道氏理論、濾嘴法則與買入持有策略在台灣股市投資績效之比較，國立成功大學企業管理研究所碩士論文。
6.潘家怡(2005)，以相對強勢指標(RS)檢測台股指數選擇權裸部位策略之投資績效，逢甲大學經營管理碩士論文。
7.蔡尚儒(2000)，台灣店頭市場技術分析的實證研究，國立中正大學財務金融研究所碩士論文。
8.蔡瀚賢(2001)，成交量放大訊號及技術指標綜合策略在台灣股市之實證研究，國立成功大學企業管理研究所碩士論文。