各種分析工具常會被運用在證券市場以及期貨市場上，這二個市場除了流動性佳之外，參予者的結構也十分完整。其中，技術分析是最常被使用的工具，原因在於多數投資人對於訊息的搜集取得不易，也缺乏專業的素養，因此依賴技術分析是最方便快速的方法。而技術分析指標研究都將重點擺在驗證其指標的有效性及選擇買賣時點的能力上，其中一項技術指標『停損點反向操作』（Stop And Reverse，簡稱SAR），已於國內證券市場與期貨市場獲得驗證為有效性及具有擇時能力，並且已經有相關的論文著作發表，都證明此指標是有擇時能力並能獲得超額報酬。 在國內的另一個資本市場─債券，買賣斷的交易部分，長期以來均以法人為主，不像美國債券市場的參予者結構那麼完整，技術分析運用到買賣斷交易的情況，相較於股市、期貨顯得貧乏。近幾年，櫃檯買賣中心(OTC)為了促進債券買賣的流動性、提高交易的資訊透明度，建立一套等值成交系統，用電腦交易取代過去電話議價的時代，成功的活絡了整個債券市場的買賣斷交易。雖然參予者的結構並未改變，當期指標債券仍時有鎖單的情形，但是依照當前市況，若以『停損點反向操作』（Stop And Reverse，簡稱SAR）技術分析指標，做為買賣點的參考依據，是否仍為有效？是否仍然能夠獲得超額報酬？ 本論文以『停損點反向操作』（Stop And Reverse，簡稱SAR）技術分析指標，並使用雙向「做多且做空操作」交易法則(債市可借券放空)，來評估此技術分析指標在台灣債券市場應用。 實證結果為： 停損點反向操作技術分析指標的投資法則在台灣債券市場是一個相對無效性指標。 There are various analyzing tools used in the equity and futures markets in which not only the liquidity is excellent but also the structure of the participants are fairly plentiful. Technical analysis is the most applied analytical tool in these markets due to the difficulty of obtaining significant information and being lack of the ability of professional knowledge of the nature of the invested companies. Therefore, technical analysis is the fastest gateway to achieve the need of the investors. The goal of the Technical analysis has placed its reliability on the trading timing where the Stop And Reverse (SAR) method is proved the most effective way on the trading timing for both equity and futures markets. There are various relative publishing articles and papers on the method proved the effectiveness of making exceeding return on investment by using the SAR method as the analytical tool. The participants of the OPNOS trading in the bond market of Taiwan are mostly corporate investors which are not as diversified as the USA counterpart. Technical analysis for the trend of the bond market compare to the stock and futures markets is quite insufficient. In the recent years, in order to enhance the liquidity of the bond trading and improve transparence of the trading information, the OTC has established the fair pricing trading system , instead of negotiating by phone, which is dealt by computer system. The fair pricing trading system successfully activate the trading of OPNOS. Since the market participants remain the same and the contemporary standard bonds are often locked off by the bond holders meaning almost no standard bond circulating in the market for this reason. It was unknown that SAR method would actually work or even make exceeding profit. The purpose of this dissertation is to argue the effectiveness of applying the Stop And Reverse method as the technical tool and also apply the two way trading principle for analyzing investing in the Taiwanese bond market. The result of the argument is that the SAR is not effective on the investment return in the Taiwan bond market.
