臺灣博碩士論文加值系統

股票市場千變萬化，投資者紛紛利用不同的策略進行套利。一般常用於評估與分析股價的方式中，主要包含三個層面，即基本面、技術面、籌碼面，本篇論文試圖利用技術面的分析工具尋找適合的買進訊號及賣出訊號，並提升投資績效。技術分析工具是由每日的價格波動與每日的成交量所建構而成，而本篇論文主要採用的是以價格為主的分析工具。

本篇所採用的技術分析工具以葛蘭碧八大法則及K線理論為基礎。基本上，並進行修正。基本上，葛蘭碧八大法則使用價格波動與價格之移動平均(MA)之間的交互作用，分類出四個買進訊號及四個賣出訊號，本篇論文依此原則並加入 K線理論所取得的四個重要資訊: 最高價、最低價、收盤價及相對位置，最後建立買進或賣出的判斷準則，並依此進行投資驗證，以評估其是否較修正前及「買進持有」的操作策略有較高的投資績效。

實證上採用的樣本為台灣50成分股，樣本期間為2013年至2015年。實證結果顯示，單獨使用葛蘭碧八大法則的獲利能力及風險值都劣於各股買進持有的投資策略，然而在葛蘭碧八大法則加入K線理論的調整方式下，不僅獲利能力及風險值都優於買進持有的策略外，也勝過加權指數及台灣50指數的報酬率。

In stock markets, investors use different strategies to get arbitrage opportunities. The strategy tools frequently used in stock markets consist of three dimensions, i.e., the fundamental analysis, technical analysis, chip analysis. This paper attempts to construct a mixed technical analysis tools to find more suitable buying messages and selling messages for raising the performance of investment. Basically, technical analysis indices are set up by trading prices and/or trading volume. This study focuses on the trading price.

This study combines the Granville rules with Candlestick chart to form an investment strategies tool. Granville rules use the price volatility and moving average (MA) line to find buying messages and selling messages. However, we add the four crucial messages from the Candlestick chart, i.e., the highest price, the lowest price, the closing price and relative position into the Granville rules. Finally, we compare the performance by employing these different investment tools.

The study selects the component stocks in the Taiwan 50 Index as sample objects. The sample period spans from 2013 to 2015. The empirical results show that the profitability and risk from using the Granville rules alone are inferior to the investment strategy of buy and hold stocks. However, employing the strategy of the Granville rules combined with Candlestick chart, has higher profitability and lower risk than buy and hold strategy, and the strategies derived from the Granville rules.

摘要 I
Abstract III
致謝辭 IV
List of tables VI
List of figures VII
1、Introduction 1
1.1 Background and Motivation 1
1.2 Flow Chart 3
Figure 1.1 Research Framework 3
2、Literature Review 4
2.1 Methodology in Stock Price Forecasting 4
2.1.1 Fundamental Theory 4
2.1.2 Market Psychology Theory 5
2.1.3 Random Walk Theory 5
2.1.4 Efficient Market Theory 6
2.1.5 Technical Analysis Theory 6
2.2 Literature Review 7
3、Empirical Methods and Strategies 10
3.1 Decision-Making Instrument－Technical Analysis 10
3.1.1 Granville Rules 10
Figure 3.1 Granville rules 12
3.1.2 Candlestick Chart 12
Figure 3.2 Candlestick chart 13
3.2 Investment Strategies 15
3.2.1 Granville Rules 15
Table 3-1 Buy and sell messages in GR 16
3.2-2 Granville Rules Combined with Candlestick Chart 17
Table 3-2 Buy and sell messages in GRCC 21
3.3 Data Source 21
Table 3-3 Component Stocks of the Taiwan 50 Index 22
3.4 Performance Evaluation Rule 23
4、Empirical Results 24
4.1 Descriptive Statistics 24
Table 4-1 Descriptive statistics 25
Figure 4.1(a) Return distribution: GR 26
Figure 4.1(b) Return distribution: GRCC 26
4.2 Performance Evaluation 27
Table 4-2 Transaction result: the GR strategy 29
Table 4-3 Transaction result: the GRCC strategy 32
5、Conclusions and Suggestions 35
5.1 Conclusions 35
5.2 Suggestions for Future Research 36
References 39

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7.吳博欽、潘聖潔 (2014)，「亂中求序－九宮格投資法」，領航音樂工作室。

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