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    Please use this identifier to cite or link to this item: https://nccur.lib.nccu.edu.tw/handle/140.119/140968


    Title: 以技術指標預測台股橫斷面期望報酬
    Cross-sectional return predictability of technical indicators in Taiwan
    Authors: 王郁涵
    Wang, Yu-Han
    Contributors: 鍾令德
    Chung, Ling-De
    王郁涵
    Wang, Yu-Han
    Keywords: 技術指標
    動能策略
    季節性效應
    Technical indicator
    Momentum strategy
    Seasonality effect
    Date: 2022
    Issue Date: 2022-08-01 17:03:49 (UTC+8)
    Abstract: 本研究主要參考Chen and Zimmermann (2021) 使用的所有特徵中，與價格相關的其中 19 個技術面特徵，其中包括5個波動度、9個價格動能、4個季節性與1個交易量相關特徵，並將這些特徵運用於台股市場中，主要分為全部台股市場普通股與上市個股兩個樣本進行探討。實證結果主要有以下四項：第一，波動度相關特徵中，以特質波動度與前月最大單日報酬作為特徵，該特徵與投資組合的平均報酬呈現正向關係，與美股市場實證研究結果方向相反。第二，台股市場並無顯著價格動能效應，與美股實證結果不同，然而，長期而言，台股市場價格動能會產生顯著長期反轉跡象。第三，若以過去長期的同月報酬作為特徵，則台股市場存在顯著的季節性效應。第四，台股市場中，低交易量的動能投資平均報酬皆較高交易量者高，此結果與美股市場實證結果不一致。
    This study investigates the investment performance of 19 technical indicators summarized by Chen and Zimmermann (2021) in the Taiwan stock market. These technical indicators comprise five volatility estimates, nine price momentum measures, four seasonality signals, and one volume-related attribute. The backtesting sample covers all ordinary stocks on the Taiwan Stock Exchange (TWSE) from 1981 until 2021. There are four main empirical findings: First, regarding volatility estimates, idiosyncratic volatility and the maximum daily return are positively related to the following month’s stock returns, which are at odds with the empirical findings in the US stock market. Second, inconsistent with the strong momentum effect in the US , the Taiwan stock market does not yield significant abnormal returns from momentum strategies. That said, over a longer time horizon, Taiwanese stocks experience significant return reversals that are consistent with the long-run reversal effect. Third, using the historical same-month returns as trading signals, Taiwanese stocks exhibit significant seasonality effects. Fourth, in contrast to the finding in the US market, price momentum is only profound among low turnover stocks while insignificant among high turnover stocks in Taiwan.
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    Description: 碩士
    國立政治大學
    國際經營與貿易學系
    109351006
    Source URI: http://thesis.lib.nccu.edu.tw/record/#G0109351006
    Data Type: thesis
    DOI: 10.6814/NCCU202201052
    Appears in Collections:[國際經營與貿易學系 ] 學位論文

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