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    政大機構典藏 > 商學院 > 金融學系 > 學位論文 >  Item 140.119/73242
    Please use this identifier to cite or link to this item: https://nccur.lib.nccu.edu.tw/handle/140.119/73242


    Title: 行為財務與技術指標運用在期貨市場之實證分析
    Practical analysis of Behavioral Finance and Technical Indicators on Taiwan’s future market
    Authors: 黃柏崴
    Contributors: 廖四郎
    林士貴

    黃柏崴
    Keywords: 行為財務
    處分效果
    技術指標
    移動平均線
    指數平滑異同平均線
    隨機指標
    包寧傑帶狀指標
    Date: 2014
    Issue Date: 2015-02-03 10:19:02 (UTC+8)
    Abstract: 本篇論文主要研究如何建構行為財務與技術指標的交易策略,且分析運用在台灣加權指數期貨市場上的實證結果。本研究將會先分為三部分進行。第一部分將實證台灣加權指數期貨散戶投資者是否具有處分效果與過度自信。第二部分將建構四種技術指標的交易策略,並且分析其交易策略之績效。第三部分首先會建構行為財務的交易策略,並且分析其優劣。接著便會結合行為財務與技術指標,以行為財務為核心,再透過前一節分析結果篩選出輔佐的技術指標,以技術指標為輔,透過買進賣出訊號的設定和停損停利的門檻設計,建構出最佳化的程式交易交易策略,並且作改良前與改良後的實證分析比較。
    本研究期間為2007年01月01日至2013年12月31日,資料來源為台灣經濟新報(TEJ)之中台灣加權指數的融資買進張數、融資賣出張數以及價格的盤後日資料,使用的工具為元大寶來期貨的程式交易Multicharts。本篇研究結果發現:
    一、 台灣加權指數期貨的散戶投資者皆具有處分效果和過度自信的行為偏誤。
    二、 利用融資買進張數和融資賣出張數為替代變數,可以發現其處分係數和過度自信係數的相關性高達99.01%,再次驗證Odean(1998)指出過度自信與處分效果兩者可能相關,過度自信可能導致處分效果的產生。
    三、 四種技術指標之中,實證出利用KD指標和MA指標可以獲取正向報酬,而兩種指標之中,不論是對於未來價格走勢的預測能力或者獲利的穩定性以KD指標表現最為優異。
    四、 以處分係數為核心的交易策略,確實可以獲取正向報酬,但其獲利能力不穩定、交易次數過低和最大虧損過大為其缺點。
    五、 處分係數為主,KD指標為輔的交易策略,實證可獲取正報酬,且改善原先行為財務交易策略的缺點,不但提升了報酬率,且使得獲利能力更為穩定。
    Reference: 1. 汪映廷,2011,「價量雙指標交易策略績效之實證研究」,朝陽科技大學財務金融研究所碩士論文。
    2. 沙勝毅,2000,「台灣股票市場散戶與外資投資心裡之比較研究」,私立銘傳大學國際企業研究所碩士論文。
    3. 林秋雲,2002,「股票投資人錯置效果之研究」,輔仁大學應用統計學研究所碩士論文。
    4. 張清良,2008,「股票市場買賣研判指標的應用」,國立中正大學財務金融所碩士論文。
    5. 陳真真,2004,「散戶投資人是否較機構投資人更加過度自信」,東海大學企業管理所碩士論文。
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    9. 賴麗玲,2003,「錯置效應與過度自信之實證-以高週轉率共同基金經理人之表現為例」,實踐大學企業管理所碩士論文。
    10. 羅仙法與蘇玄啟,2006,「移動平均線交易策略在台灣股票市場之應用」,2006現代財務論壇學術研討會論文集。
    11. 蘇婉如,2004,「投資人錯置效果之研究-以選擇權為例」,雲林科技大學財務金融所碩士論文。
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    Description: 碩士
    國立政治大學
    金融研究所
    101352008
    103
    Source URI: http://thesis.lib.nccu.edu.tw/record/#G0101352008
    Data Type: thesis
    Appears in Collections:[金融學系] 學位論文

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