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研究生:陳賢達
研究生(外文):Hsien-ta Chen
論文名稱:技術分析在股票市場產生超額報酬可能性之實證探討-以寶來台灣50ETF為例
論文名稱(外文):The trading performance of technical analysis strategies: The case of Taiwan 50 ETF
指導教授:黃彥聖黃彥聖引用關係
指導教授(外文):Yen-sheng Huang
學位類別:碩士
校院名稱:國立臺灣科技大學
系所名稱:管理學院MBA
學門:商業及管理學門
學類:其他商業及管理學類
論文種類:學術論文
論文出版年:2008
畢業學年度:96
語文別:中文
論文頁數:66
中文關鍵詞:技術分析效率市場技術指標
外文關鍵詞:technical analysismarket efficiencytrading indicator
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本研究利用10種常用的技術分析指標,輔以不同之指標參數,組成37,348種交易策略測試台灣50ETF的日交易資料。探討技術分析是否可以打敗買入持有策略獲取超額報酬以及台灣證券市場是否符合弱式效率市場假說。
研究期間分為兩個階段:第一階段從2003年6月30日至2005年11月30日,此階段為樣本內期間,找出可以獲取超額報酬的贏家策略;第二階段為樣本外期間,從2005年12月1日至2008年4月30日,以第一階段的贏家策略在此期間模擬操作並判斷是否有持續性的結果。依據實證結果,獲得以下幾點結論:
一、技術分析操作策略可以獲得絕對報酬。
二、單一技術指標的技術分析操作策略並無法擊敗買入持有的操作策略。台灣股票市場整體符合弱式效率市場之假說。
三、股價原始資料經過不同方式的除權、息還原處理會影響技術分析贏家策略的選擇。
This paper uses TTT daily data from 2003 to 2008 to examine the profitability of technical trading rules by evaluating their ability to outperform the buy-and-hold trading strategy and examine the market efficiency hypothesis. Ten technical trading indicators with different parameters were used in this paper.
This paper tests these technical trading strategies using the two-period-test framework. The period used for building the model, as in-sample data, is from 30th June 2003 to 30th November 2005 and the period used for testing the model or out-of-sample data is from 1st December 2005 to 30th April 2008. We find that technical trading strategies can help investors get absolute profit, and that technical trading rules did not outperform the buy-and-hold strategy and that the Taiwan stock market matches the weak form of the efficient market hypothesis. How to deal with the stock price which has been adjusted for split and dividends will affect the result of the technical trading.
摘要 I
Abstract II
致謝 III
目錄 IV
表目錄 V
圖目錄 VII
圖目錄 VII
第一章 緒論 1
第一節 研究背景與動機 1
第二節 研究目的 2
第三節 研究流程 3
第二章 ETF與技術分析簡介 4
第一節 ETF市場介紹 4
第二節 技術分析簡介 12
第三章 文獻探討 13
第一節 技術分析實證研究 14
第二節 效率市場 29
第四章 研究方法 32
第一節 研究標的、期間與資料來源 32
第二節 技術交易法則與買賣時機的決定 35
第三節 研究設計 38
第四節 績效衡量 43
第五章 實證結果分析 46
第一節 實證結果 46
第二節 實證資料分析 53
第六章 結論與建議 55
第一節 研究結論 55
第二節 研究限制與建議 57
參考文獻 58
中文部分 58
英文部分 59
附錄 63
中文部分

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