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研究生:潘氏卿莊
論文名稱:台灣股票市場布林帶績效之最適化實證分析
論文名稱(外文):Empirical Optimization of Bollinger Band for Profitability in the Taiwan Stock Markets
指導教授:林淑瑛林淑瑛引用關係
指導教授(外文):Shu-Ying, Lin
口試委員:許仁綜李明煌
口試日期:2017-06-08
學位類別:碩士
校院名稱:明新科技大學
系所名稱:管理研究所碩士班
學門:商業及管理學門
學類:企業管理學類
論文種類:學術論文
論文出版年:2017
畢業學年度:105
語文別:英文
論文頁數:54
中文關鍵詞:技術分析
外文關鍵詞:Technical AnalysisStock CharacteristicsBollinger Bandstechnical trading rules
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  • 被引用被引用:0
  • 點閱點閱:155
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This study adapts Bollinger Bands to the Taiwan stock markets, research the efficiency of Bollinger Bands depending on the parameters. The optimal parameters are calibrated. Utilizing relatively recent data from 2010 to 2016 of common stocks listed on Taiwan Stock Exchange (TWSE). The results indicate that Bollinger bands can generate abnormal returns and investor should apply 10 days moving average and use a trading channel with the width of 2.2 standard deviations. We also examine whether certain stock characteristics (like size, beta, ROI, price to book ratio, price to sale ratio, price to earning ratio) have relevant influence on its results. We found that there is some evidence that they are more profitable for small size stocks and ROI, high price to book ratio and price to sale ratio.
CHAPTER 1: INTRODUCTION 1
CHAPTER 2: LITERATURE REVIEW 6
2.1. Technical analysis – TA 6
2.2. Bollinger Band 8
CHAPTER 3: METHODOLOGY 14
3.1. Technical indicators 14
3.1.1. Trading bands 14
3.1.2. Bollinger bands 15
3.1.3. Optimal parameters 17
3.2. Methodology 19
3.2.1. Trading rule 19
3.2.2. Stock characteristics 21
3.2.3. Data 21
CHAPTER 4. RESULTS 23
4.1. Summary statistic of variables 23
4.2. The profitability of the Bollinger Band trading rule 24
4.3. Company with the top and bottom return by BB trading strategy 28
4.4. Characteristics influence test 32
4.4.1. Return on investment decile portfolio 34
4.4.2. Size decile portfolio 36
4.4.3. Price to book ratio decile portfolio 38
4.4.4. Price to sale 40
4.4.5. Beta 42
CHAPTER 5: CONCLUSIONS 45
REFERENCES 46

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