| 研究生: |
張璟偉 Chang, Ching-Wei |
|---|---|
| 論文名稱: |
技術指標反向運用績效--以台灣股市為例 The Performance of Reversing Use of Technical Indicator - Taking Taiwan Stock Market as an example |
| 指導教授: |
莊雙喜
Chuang, Shuang-Shii |
| 學位類別: |
碩士 Master |
| 系所名稱: |
管理學院 - 企業管理學系 Department of Business Administration |
| 論文出版年: | 2011 |
| 畢業學年度: | 99 |
| 語文別: | 中文 |
| 論文頁數: | 92 |
| 中文關鍵詞: | 技術分析 、移動平均線 、KD 、RSI |
| 外文關鍵詞: | Technical Analysis, MA, KD, RSI |
| 相關次數: | 點閱:84 下載:1 |
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在國內有不少人運用技術分析去分析研究股票試圖獲利,最為耳熟能詳的指標便是「黃金交叉買入、死亡交叉賣出」。但股市是零和遊戲(未考慮手續費和證交稅),若是大多數人都這麼做,即使原本可以獲利也會變成賠錢,因此在此時若換個方向思考,將「黃金交叉買入、死亡交叉賣出」改成「死亡交叉買入、黃金交叉賣出」,是否會比原來的獲利來得高呢?
本文所選取的樣本為台灣股市中10檔股票,選用的技術指標為以下三種(1)移動平均線法則(2)隨機指標法則(3)相對強弱法則,將其分為正常組和對照組,正常組即依循「黃金交叉買入、死亡交叉賣出」,而對照組則依循「死亡交叉買入、黃金交叉賣出」,並將兩組報酬率以兩母體平均數差t檢定進行比較。研究結果顯示,30組股票中5組是對照組報酬率大於正常組報酬率,至於正常組大於對照組報酬率是0組,其他組股票皆不顯著。
Many people are trying to make profit by using technical analysis of stocks in Taiwan. The most popular indicator is the "Buying at gold cross and selling at dead cross." However, the stock market is a zero-sum game (without considering fees and license taxes), if most of people do the same way, even the profitable way might become losing way. This study attempts to change the stock trading direction by " Buying at gold cross and selling at dead cross "to" Buying at dead cross and selling at gold cross ", and tries to examine whether or not it is more profitable than the original way.
This study collected 10 stocks in the Taiwan stock market as the subjects. Three stock technical indicators are used (1) moving average (2) stochastic rule (3) the relative strength of the law. Samples are divided into two groups: normal group and control group. Normal group followed " Buying at gold cross and selling at dead cross", and control group followed the " Buying at dead cross and selling at gold cross ." The return rate of the two groups were examined by T-test. The results showed that the return rate of 5 stocks in the control group are greater than normal groups, and 25 of 30 stocks have no significant difference.
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校內:2021-12-31公開