臺灣博碩士論文加值系統

本文的主要動機源於外匯市場的市場效率和理性預期仍然存在許多懷疑，即市場效率測試的結果通常是模棱兩可的，因為研究人員無法辨別市場效率的拒絕是由於非理性、預期回報的錯誤指定還是風險溢酬。時間序列模型運用於預測金融資產價格報酬率方面，是否能獲得超額報酬率並沒有定論，所以，基於以上的研究，本文的研究目的包含驗證外匯市場效率市場假說是否成立。並且使用移動平均法(Moving Average, MA)，並且比較使用移動平均法、變量移動平均法(Variable-Length Moving Average, VMA)以及區間交易法(Trading Range Breakout, TRB)等方法與買入持有策略的投資績效。實證結果顯示外匯市場效率市場假說成立，另外，無論在長期或短期分析，技術分析之工具在特定時機點之操作策略，能獲得優於與買入持有策略的投資績效。

The main motivation of this article is that there are still many doubts about market efficiency and rational expectations in the foreign exchange market, that is, the results of market efficiency tests are usually ambiguous, because researchers cannot distinguish whether the rejection of market efficiency is due to irrational, incorrect designation of expected returns or Risk premium. The time series model is used to predict the price return of financial assets. Whether it can get the excess return is not conclusive. Therefore, based on the above research, the purpose of this article is to verify whether the hypothesis of the efficiency of the foreign exchange market is valid. And use the moving average method (Moving Average, MA), and compare the use of moving average method, variable-length moving average method (Variable-Length Moving Average, VMA) and interval trading method (Trading Range Breakout, TRB) and other methods and buy and hold The investment performance of the strategy. The empirical results show that the efficient market hypothesis of the foreign exchange market is established. In addition, whether in long-term or short-term analysis, the operation strategy of technical analysis tools at a specific point in time can achieve better investment performance than buy-and-hold strategies.

摘 要 i
ABSTRACT ii
誌 謝 iii
目錄 iv
表目錄 vi
圖目錄 vii
壹、緒論 1
一、研究背景與動機 1
二、研究目的 2
三、研究架構 3
貳、文獻回顧 5
一、效率市場假說 5
二、技術分析之相關研究 8
參、研究方法 13
一、資料說明 13
二、效率市場之檢驗 13
三、技術分析 14
肆、實證結果 17
一、效率市場之檢驗 17
二、技術分析投資績效之分析 18
伍、結論 31
一、本文結論 31
二、建議與後續研究 33
參考文獻 34

 
表目錄
表 2 1效率市場假說內涵 6
表 2 2效率市場假說相關研究 7
表 2 3技術分析之相關研究 10
表 4 1檢定短期超額報酬 17
表 4 2檢定長期超額報酬 18
表 4 3移動平均法短期分析結果 19
表 4 4Variable-Length Moving Average短期分析結果 22
表 4 5移動平均法長期分析結果 25
表 4 6Variable-Length Moving Average長期分析結果 28
















圖目錄
圖 1 1 研究流程 4

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