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研究生:黎文大
研究生(外文):Le Van Dai
論文名稱:以移動平均線法研究台灣股市
論文名稱(外文):A Study of the Stock Market Investment Using Moving Averages Technique
指導教授:黃俊平黃俊平引用關係
指導教授(外文):Huang, Jyun-Ping
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:102
語文別:英文
論文頁數:83
中文關鍵詞:移動平均線技術分析統計檢定
外文關鍵詞:Moving averagesTechnical analysisStatistical testtransaction costs.
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本研究之目的在於以統計方法驗證移動平均線對於股市投資之效用,並以台灣50指數成分股作為驗證之標的。移動平均線是證券投資中最常用的技術法則,它代表了給定時間內的平均值,此平均值將隨時間之移動而變化,連之而成之曲線辯稱之為移動平均線,本論文中所要驗證之移動平均線包含了5日, 10日及20日之移動平均線。本文所使用之買賣點策略為當價格由下向上穿越移動平均值為買點,反之當價格由上向下穿越移動平均值為賣點,本文所使用之價格為收盤價,驗證期限由2008年1月 1 日至2012年12月31日。驗證方式為將所有買賣交易後之利潤以統計方式驗證其是否具有顯著性,驗證結果證明了移動平均線在本文之策略下所得的獲利具有顯著性,即使在空頭市場上仍具有顯著之獲利,所驗證之交易也包含了交易成本在內。
關鍵字: 移動平均線,技術分析, 統計檢定.


Abstract

The main purpose of this thesis is to test whether the most popular technical indicator – the simple moving average can predict the stock price movement and that could be used as a way to invest in the Taiwan Stock Exchange. The moving average is the most reliable and most popular technical indicator representing an average in a different time intervals. Three different moving averages, 5-day, 10-day, 20-day are tested to verify the effectiveness of the proposed model. It points out the signal to buy when price rises above the moving average and the signal to sell when the price falls below the moving average. This research uses the closing prices for Taiwan Stock Exchange; the data sets are sampled for 5- year period from January 1st 2008 to December 31st 2012. The price history used in the analysis for all 50 stocks was downloaded from Yahoo, Finance website. Daily index closing price is used in this research. Moreover, the statistic test to test is used effect of performance of Simple Moving average indicator. The empirical evidence leads to the inference that Simple Moving Average is a significant tool of investing at Taiwan Stock Exchange. The result shows that all performances of the moving average method for most time intervals can give significant support for investor to make profit and the entire test statistics are of the correct sign. This indicates that the introduced model is effective even in the bear market, based on observed historical security price data. Transaction costs were also considered in the evaluation of the computation.
Key words: Moving averages, Technical analysis, Statistical test, transaction costs.


Table of Contents
Abstract i
摘要 iii
Acknowledgements iv
Table of Contents v
List of Tables vii
List of Figures viii
Chapter 1 Introduction 1
1.1 Problem Statement and Background 1
1.2 The Objectives of the Study. 4
1.3 Significance of the Study. 4
1.4 Organization of the thesis. 4
Chapter 2 Literature Review 6
2.1 Technical Analysis 6
2.2 Efficient Market Hypothesis (EMH). 9
2.3 Technical Indicator. 11
2.3.1 Introduction 11
2.3.2 Moving average 12
Chapter 3 Data and Methodologies 19
3.1. Data source. 19
3.2. Simple Moving average. 21
3.2.1 Buying and Selling Strategy 23
3.2.2 Short selling Strategy 25
3.3 Profit with Transaction costs. 26
3.4. Computation of Moving averages. 27
3.5 Statistical Test. 29
Chapter 4 Empirical Results and Analysis 31
4.1 Result for using Simple Moving Average Indicator. 31
4.2. Statistic Test Results. 42
Chapter 5 Conclusion 62
5.1 Conclusion and Discussion. 62
5.2 Recommendation for Financial Investors. 64
5.3 Limitations and Suggestions for further Research. 64
References 65
Appendix I 70
Extended Abstract 72
Curriculum Vitae (CV) 83


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