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    题名: 應用MACD及RSI為技術指標於台灣加權指數、日經225及香港恆生指數
    Testing Moving Average Convergence / Divergence and Relative Strength Index on Hang Seng Index, Nikkei 225 and Taiwan Capitalization Weighted stock Index
    作者: 鐘以恂
    Chung, Yi Hsun
    贡献者: 山本竜市
    Ryuichi Yamamoto
    鐘以恂
    Chung, Yi Hsun
    关键词: 技術指標
    MACD
    RSI
    日期: 2012
    上传时间: 2013-09-02 15:18:46 (UTC+8)
    摘要: 近年來，投資者在交易時所使用的技術指標越來越琳琅滿目。本研究探討MACD (Moving Average Convergence / Divergence) 以及 RSI (Relative Strength Index) 兩種技術指標，並利用香港恆生指數、日經225指數以及台灣加權指數1970年到2010年的實證資料來研究。我們分別在MACD和RSI指數裡面設置買賣點，並且加入fixed x% filtering rule和time-delay filter rule以過濾錯誤的交易訊號。
    本研究實證發現雖然有些技術分析所形成的最佳交易策略可以贏過Buy-and-hold的交易模式，但是總的來說，在我們的實證資料裡，MACD和RSI仍然不能顯著的創造比Buy-and-hold交易策略更好的報酬。
    The purpose of this paper is to test whether the use of two modern technical rules (i.e. the Moving Average Convergence and Divergence (MACD) and the Relative Strength Index (RSI) ) can produce a significant return comparing to the buy-and-hold strategy over the Hang Seng Index, Nikkei 225 Index and Taiwan Capitalization Weighted Stock Index during 1970 to 2010. Buy signals and sell signals are set by variables, and fixed x% filter rule and time-delay filter rule are applied to avoid false signals.
    We demonstrate that, although some technical trading analysis generates a higher total return or mean daily return, no strategies can dominate and outperform the buy-and-hold strategy in our sample period.
    參考文獻: References
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    Chong, T. T. L., & Ng, W. K. (2008). Technical analysis and the London stock exchange: testing the MACD and RSI rules using the FT30. Applied Economics Letters, 15(14), 1111-1114.

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    描述: 碩士
    國立政治大學
    國際經營與貿易研究所
    100351030
    101
    資料來源: http://thesis.lib.nccu.edu.tw/record/#G1003510301
    数据类型: thesis
    显示于类别:[國際經營與貿易學系 ] 學位論文

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