臺灣博碩士論文加值系統

本文採用技術分析中兩種常用的指標，以移動平均價結合移動平均成交量，行成雙指標策略，運用黃金交叉與死亡交叉觀念建立交易法則，檢視美國股市中紐約交易所（NYSE）/美國證券交易所（AMEX）及那斯達克證券市場1993-2004年其中的108支股票，以電腦進行獲利次數機率及報酬率統計分析。將其結果與單純只考慮移動平均價黃金與死亡交叉之單指標策略進行比較。目的為探討能否藉由雙指標策略來提升單指標原有之獲利機率及報酬率，並與台灣的研究結果比較。實証結果發現：
1. 就獲利次數機率結果顯示，美國股市運用移動平均價MP單指標策略，結合移動平均成交量MQ行成雙指標策略時，並無顯著提升的效果；而台灣股市結果顯示雙指標策略的確能顯著提升單指標之獲利次數機率。無論單指標或雙指標策略之獲利次數機率皆超過80%，其中結果皆以12日及24日移動平均價交叉搭配3日移動平均成交量之獲利次數機率為最佳。
2. 台灣與美國股市皆以不考慮交易成本的情況下，對於單指標與雙指標策略之報酬率進行分析，結果證實獲利皆大於虧損，且雙指標策略對於單指標策略有顯著提升效果。
3. 深入探討單指標與雙指標策略之獲利次數機率及報酬率分佈狀況。就獲利次數機率的分佈來看，兩者的分佈情形相似；報酬率分佈的部份，美國股市與台灣股市皆呈現雙指標提升單指標的情形，由此可在台灣與美國股市，使用相同的技術法則所呈現的結果均得到相同結論。

The moving average price and the moving average price are combined to act as a two-index strategy. This study adopts single index, two-index and the cross of the moving price and the moving quantity to construct simple trading rules. The above rules are applied to the US stock market from 1993 to 2004. The goal is to compare the probability of earning profit between the two index strategy mentioned above and the single index strategy established by the moving average price. Finally, we use the computer to analyze the results.
The study obtains the following conclusions:
1. From the viewpoint of short and middle investments, the probability of earning profit is more then 80% for both the single index and the two-index. The two-index strategy is not significantly different from the single index strategy in USA data. The two-index strategy will significantly increase the earn probability by the moving average price for Taiwan. However both of them gain a better earn probability by the cross of 12 days and 24 days.
2. Considering the earning rate, the two-index strategy is slightly better than the single strategy for both Taiwan data and USA data.
Moreover we study the distribution of earn probability and earn rate by using the single index strategy and the two-index strategy. As for the distribution of earn probability, two index strategy is better than the single strategy in both Taiwan data and USA data. We obtain the same conclusions as the above mentioned by using the same technical rule in Taiwan and USA stock market.

摘 要 I
ABSTRACT III
誌 謝 V
目 錄 VI
表 目 錄 VIII
圖 目 錄 X
符 號 說 明 XI
第一章 緒論 1
1.1 研究背景與動機 1
1.2 研究目的 2
1.3 研究範圍與限制 3
第二章 文獻探討 4
2.1 效率市場假說 4
2.2 國際股市間關聯性之探討 4
2.3 價量關係之相關文獻 6
2.4 技術分析之實證文獻 8
第三章 研究方法 10
3.1 交易法則 10
3.2 移動平均價之運用 12
3.3 雙指標策略之運用 13
3.4 報酬率計算 15
第四章 實證結果 17
4.1單指標與雙指標策略－考慮不同組合之移動平均價 17
4.2單指標與雙指標策略－考慮不同組合之移動平均成交量 21
4.3單指標與雙指標策略－考慮不同的資料數 25
4.4 移動平均價與雙指標策略報酬率之比較 29
4.5 移動平均價與雙指標策之獲利次數機率與報酬率分佈 32
4.5.1 單指標與雙指標之獲利次數機率分配 33
4.5.2 單指標與雙指標之報酬率分配 35
4.6 台灣與美國股市比較 38
4.6.1 雙指標策略提升單指標策略之獲利次數機率比較 38
4.6.2 雙指標策略提升單指標策略之報酬率比較 41
4.6.3 雙指標策略與單指標策略之獲利次數機率與報酬率分佈比較 42
第五章 結論 47
5.1 結論 47
參 考 文 獻 49
附錄一 52
附錄二 54
作 者 簡 介 62

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