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    Please use this identifier to cite or link to this item: http://ir.lib.ncu.edu.tw/handle/987654321/12330

    Title: 技術分析在台灣股市擇時能力實證 -以停損點反向操作指標(SAR)為例;The Empirical of Technical Analysis in Timing Selection Ability of Taiwan Stock Market–The Apply to Stop and Reverse (SAR)
    Authors: 賴宗裕;Tsung-Yu Lai
    Contributors: 財務金融學系碩士在職專班
    Keywords: 技術分析;擇時能力;Technical Analysis;Timing Selection Ability
    Date: 2005-06-16
    Issue Date: 2009-09-22 14:45:15 (UTC+8)
    Publisher: 國立中央大學圖書館
    Abstract: 雖然多數學者認為國內股市場屬於弱式效率市場,但實務上利用技術分析理論作為進出股市之判斷準則,在台灣仍是十分普遍存在的現象,近年來許多研究指出金融商品的價格走勢具有非線性特質,而且在某段期間內呈現趨勢,有愈來愈多的證據顯示技術分析交易法則能夠察覺金融商品價格未來變動方向。 技術分析在實務交易上講究單一技術指標深入研究與實戰經驗的應用,尤其是輔以人為判斷來過濾錯誤訊號,電腦模擬實證僅是將資料套入技術分析程式中計算報酬率,據此簡單結果來下定論,忽略業界交易員的交易策略並非每次看到買進與賣出訊號都會去執行,因此許多研究結果顯示技術分析無效,本論文選取同時具有買賣訊號、波段操作且停損機制的『停損點反向操作指標』(Stop And Reverse,簡稱SAR)技術分析指標,較貼近實務人為應用的特性來評估技術分析指標交易法則在台灣股市應用。 在考慮交易成本的實證結果顯示下,SAR技術指標以雙向「做多且做空操作」與單向「做多操作」、「做空操作」等三種交易法則對股價加權指數模擬操作績效,均顯示SAR指標交易法則績效明顯優於效率市場理論所支持買進持有策略,證明技術分析指標在台灣股票市場是可行的,在實務界常用之指標參數(SAR4,AF0.02)與參數(SAR3,AF0.02),其「做多且做空操作」報酬率平均值之T檢定值結果,均顯示兩者操作報酬率平均值皆大於0且顯著異於0,表示SAR技術指標是具有擇時能力。 It is know that most of the scholars hold the opinion that Taiwan stock market is a weak efficient market. However, in Taiwan, it is still very common in practice to apply the technical analysis method as a tool to determine when is the best timing to buy or sell the stocks in the market. Recently, many researches indicate that the price movement of the financial products is not only with the character of nonlinear but also shows a trend within some specific period. More and more proof indicate that the technical trading rules can predict the future price movement of the financial products. In practical trading, the technical analysis particularly focuses on applying single technical indicator in research and real trading, especially accompanying with human judgment so as to penetrate the noise message of the trading. As we know, the simulation of the empirical by the computer only input the data to the program of the technical analysis so as to get a result or the ratio of return. However, if we use such a simple result or figure to make a conclusion and ignore the fact that dealers or traders do not always enter into a transaction whenever there is a single to buy or sell of stocks, we will find that the technical analysis will be an invalid method. Therefore, this thesis applies the Stop and Reverse (SAR) method which simultaneously provides the functions of the buy/sell signal, long-term return and stop lose method as the tools of the technical analysis to evaluate and analysis the application of the technical trading rules in Taiwan stock market. We will find that characters of the SAR are much closer to the real trading. I apply the SAR technical indicator that includes the principals of the two-way long/short trade, one-way long trade and short trade so as to imitate the operating efficiency against the stock price weighted index. Under such an empirical analysis which takes the cost of trading into consideration, all the results prove that the performance of applying the SAR indicator trading principal is higher better than the efficient market principal which supports the buy and hold strategy. This proves that the technical indicator trading principal is applicable in Taiwan stock market. The most common used indicator parameters (SAR4, AF0.02) and (SAR3, AF0.02) all indicate the averages of the ratio of return are all over zero and are apparently differ from zero. Such an conclusion show that the SAR technical indicator has the ability of timing selection.
    Appears in Collections:[財務金融學系碩士在職專班] 博碩士論文

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