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| Title: | 技術指標於特定市場及特定環境情況之應用：以生技股及加密貨幣市場為例
The Application of Technical Indicators under Specific Market and Environmental Conditions: Evidence from the Biotechnology and Cryptocurrency Markets |
| Authors: | 陳翰陞
Chen, Han-Sheng |
| Contributors: | 郭維裕
Kuo, Wei-Yu
陳翰陞
Chen, Han-Sheng |
| Keywords: | 技術指標
適應性市場假說
市場情緒
⽣技股
加密貨幣
Technical Indicators
Adaptive Market Hypothesis
Market Sentiment
Biotechnology Stocks
Cryptocurrency |
| Date: | 2025 |
| Issue Date: | 2025-11-03 14:42:12 (UTC+8) |
| Abstract: | 本研究以Lo(2004)提出適應性市場假說為理論基礎，探討技術指標在特定市場環境下的應用效果及市場情緒的影響。研究對象包括臺灣生技股前二十大公司與加密貨幣前二十三大幣種，採用四種技術指標（RSI、MACD、Bollinger Bands、Williams %R）設計交易策略，透過回測分析、統計檢定及虛擬變數迴歸分析，檢驗策略在不同市場情緒環境下的獲利性表現。研究結果顯示，技術指標策略在不同市場中呈現顯著差異。生技股市場中，四種技術指標均展現較佳獲利性，相較之下，加密貨幣市場的技術指標表現普遍不佳。市場情緒分析顯示，情緒對技術指標效果具有選擇性影響。生技股市場中，RSI和MACD策略在高情緒年份呈現顯著正向效應，但布林通道策略則呈現負向情緒效應。加密貨幣市場的整體情緒效應較為微弱。本研究驗證了適應性市場假說中「市場效率動態演化」的觀點，證實技術指標的有效性與市場特性密切相關。生技股作為相對低效率市場為技術分析提供較好應用環境，而加密貨幣市場的高投機性質限制了傳統技術指標的預測能力。研究結果為投資者選擇技術分析策略提供實證依據。
This study is based on the Adaptive Market Hypothesis proposed by Lo (2004) as the theoretical foundation to explore the application effects of technical indicators in specific market environments and the impact of market sentiment. The research subjects include the top twenty biotechnology companies in Taiwan and the top twenty-three cryptocurrencies, adopting four technical indicators (RSI, MACD, Bollinger Bands, Williams %R) to design trading strategies. Through backtesting analysis, statistical testing, and dummy variable regression analysis, this study examines the profitability performance of strategies under different market sentiment environments.
The results show significant differences in technical indicator strategies across different markets. In the biotechnology stock market, all four technical indicators demonstrate better profitability, while in the cryptocurrency market, technical indicators generally perform poorly. Market sentiment analysis reveals that sentiment has selective effects on technical indicator performance. In the biotechnology stock market, RSI and MACD strategies show significant positive effects during high sentiment years, while Bollinger Bands strategy exhibits negative sentiment effects. The overall sentiment effects in the cryptocurrency market are relatively weak.
This study validates the "dynamic evolution of market efficiency" perspective in the Adaptive Market Hypothesis, confirming that the effectiveness of technical indicators is closely related to market characteristics. Biotechnology stocks, as a relatively inefficient market, provide a better application environment for technical analysis, while the high speculative nature of the cryptocurrency market limits the predictive ability of traditional technical indicators. The research results provide empirical evidence for investors in selecting technical analysis strategies.
Keywords: Technical Indicators, Adaptive Market Hypothesis, Market Sentiment, Biotechnology Stocks, Cryptocurrency |
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| Description: | 碩士
國立政治大學
國際經營與貿易學系
112351043 |
| Source URI: | http://thesis.lib.nccu.edu.tw/record/#G0112351043 |
| Data Type: | thesis |
| Appears in Collections: | [國際經營與貿易學系 ] 學位論文
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