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研究生:阮春錳
研究生(外文):Nguyen Xuan Manh
論文名稱:證券投資之技術分析研究
論文名稱(外文):An Investigation of Technical Analysis Method in the Investment of the Stock Market
指導教授:黃俊平黃俊平引用關係
學位類別:碩士
校院名稱:國立虎尾科技大學
系所名稱:工業工程與管理研究所
學門:工程學門
學類:工業工程學類
論文種類:學術論文
論文出版年:2013
畢業學年度:101
語文別:英文
論文頁數:75
中文關鍵詞:技術分析移動平均隨機指標
外文關鍵詞:Technical AnalysisMoving AverageStochastic Oscillator
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  • 被引用被引用:2
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本研究之重點在於探討移動平均線對於股市投資的影響, 在此研究中進行不同時間長度下之移動平均線之調查, 其中包括了5, 10, 20, 30, 50, 60, 70, 80, 90 及 100的區間。 調查市場包含了美國(DJIA, Nasdaq Composite and S&P500),香港(Hang Seng), 韓國(Kospi), 中華民國台灣(TSEC), 日本(Nikkei 225), Russell, 以色列(Tel Aviv TA-100 IND),以及歐洲(ESTX) 等市場。調查期間由2006年1月1日至2012年12月31日。調查結果顯示移動平均線法即使在空頭市場中仍可獲利的

The essence of this study is to study the profit of investment in the stock market based on the technical analysis technique which includes Moving Average, Stochastic Oscillator and Bollinger Band. Different time intervals; 5, 10, 20, 30, 50, 60, 70, 80, 90 and 100 days, are tested to verify the effectiveness of the moving average model. The result shows the ability of making profit and comparison effectiveness among Moving Average, Stochastic Oscillator. The stock markets in this study include US stock market (DJIA, Nasdaq Composite and S&P500), Hong Kong (Hang Seng), Korean (Kospi), Taiwanese (TSEC), Japanese (Nikkei 225), Russell index, Israel stock market (Tel Aviv TA-100 IND), EURO Stocxx Index (ESTX) and the period of the investigation is from January 1st, 2006 to December 31st, 2012. The result shows that the proposed model is effective even in the bear market.

Abstract...................................................v
摘要.....................................................vii
Acknowledgements........................................viii
Table of Contents........................................ix
List of Tables............................................xi
List of Figures.................................... xii
Chapter 1 Introduction ..................................1
1.1 Problem Statement and Background ..................1
1.2 Objective............................................2
1.3 Scope................................................2
1.4 Thesis outline.......................................3
Chapter 2 Literature Review................................4
2.1 Introduction to Stock Forecasting.....................4
2.2 Efficient Market Hypothesis..........................5
2.3 Technical Analysis...................................7
2.4 Moving Average.......................................7
2.5 Stochastic Oscillator...............................12
Chapter 3 Methodology....................................15
3.1 Technical and Fundamental...........................15
3.2 Technical Analysis..................................16
3.2.1 Simple Moving Average..............................16
3.2.3 Combination of MA and Stochastic Oscillator.........20
3.3 Statistical Tests....................................21
Chapter 4 Result..........................................24
4.1 Result for using Moving Average (MA) indicator.......24
4.2 Result for using Stochastic Oscillator (SO)..........27
4.3 Results for using Moving Average rule with confirming from Stochastic Oscillator (MA-SO)........................29
4.3.1 20-days MA with confirming Stochastic Oscillator....29
4.3.2 70-days MA with confirming Stochastic Oscillator....31
4.3.3 80-days MA with confirming Stochastic Oscillator....34
4.4 Statistical Test Results.............................36
4.5 Which indicator is better?...........................44
Chapter 5 Conclusion......................................52
5.1 Discussion and conclusion............................52
5.2 Recommendation.......................................53
5.3 Limitation and future study..........................54
Reference.................................................55
Appendix – Index Close Values.............................57
Extended Abstract.........................................67
Curriculum Vitae (CV).....................................75


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