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    Title: 技術交易法則是否能夠在台灣股票市 場獲利?
    Is technical rule useful in Taiwan stock market?
    Authors: 鄭永欣
    Cheng, Yung-Hsin
    Contributors: 山本竜市
    Yamamoto, Ryuichi
    鄭永欣
    Cheng, Yung-Hsin
    Keywords: 技術分析
    Technical Rules
    Date: 2009
    Issue Date: 2016-05-09 14:53:20 (UTC+8)
    Abstract: 本文強烈地支持技術分析在台灣股票市場的有效性。本研究使用簡單技術分析法則-移動平均線法和區間突破法則,此兩法則在Brock el al(1992) 的文獻中被證明在道瓊工業指數具有獲利性。本文引用此兩法則於1981-2008的台灣股票加權指數。根據實證結果顯示,由此兩法則所產生的報酬率和利用拔靴法模擬出來的序列資料產生的報酬率結果並不一致。除此之外,即使考慮了交易成本,這些簡單技術交易法則仍然能在不同的類股指數中獲利。
    The results in this paper strongly support the practicability of technical rules in Taiwan. Two of simplest rules-moving average and trading range break which were proved to be useful in Brock el al(1992) also possess predictive power in Taiwan stock index from 1981 to 2008. The return generated from these technical rules are not consistent with four null model, random walk, AR(1), the AR-GARCH and AR-GARCH-M. Besides, the returns from these technical rules can remain positive after cutting transaction costs. These technical rules can also apply to sector index and still gain excess returns.
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    16. 方國榮,1991,「證券投資最適決策指標之研究─技術面分析」台灣大學商學
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    18. 洪志豪,1999,「技術指標KD、MACD、RSI與WMS%R之操作績效實證」台灣大
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    Description: 碩士
    國立政治大學
    國際經營與貿易學系
    96351030
    Source URI: http://thesis.lib.nccu.edu.tw/record/#G0096351030
    Data Type: thesis
    Appears in Collections:[國際經營與貿易學系 ] 學位論文

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