臺灣博碩士論文加值系統

本篇論文主要驗證技術分析在臺灣股票市場是否具有獲利能力，使用隨機指標(Stochastic, KD)及指數平滑異同移動平均線(Moving Average Convergence and Divergence, MACD)，對臺灣加權指數及臺灣50指數成分股的日、週及月資料進行研究，並且使用White’s真實性檢定(reality check)來解決資料窺視偏誤(Data Snooping Bias)的問題。研究期間從2003年6月30日至2009年12月31日。結果顯示，在臺灣股票市場中KD適用於月資料而MACD適用於週資料，表示KD及MACD這兩種技術指標適合給偏好長期投資的投資人作為判斷買賣股票的投資工具之一。

The purpose of the present study is to investigate the efficiency of applying technical analysis method to the Taiwan stocks market. We employ KD and MACD to invest stocks over the periods from June 30, 2003 to December 31, 2009. Our results show that KD is appropriate tool for monthly data, while MACD for the weekly data. Therefore, investors prefer to using KD and MACD as technical indicators for long-term investment in Taiwan.

目錄
摘要......................................................I
Abstract.................................................II
致謝....................................................III
目錄.....................................................IV
表目錄...................................................VI
第一章 緒論...............................................1
第一節 研究動機與目的.....................................1
第二節 研究架構...........................................4
第二章 文獻回顧...........................................5
第一節 道氏理論...........................................5
第二節 效率市場理論.......................................7
第三節 隨機指標...........................................8
第四節 指數平滑異同移動平均線.............................9
第五節 真實性檢定........................................10
第三章 研究方法..........................................12
第一節 隨機指標(KD)......................................12
第二節 指數平滑異同移動平均線(MACD)......................13
第三節 White’s真實性檢定................................15
第四節 交易策略..........................................17
第五節 報酬率衡量........................................19
第六節 研究假設..........................................19
第四章 實證分析..........................................21
第一節 樣本來源..........................................21
第二節 臺灣加權指數實證分析..............................22
第三節 臺灣50指數成分股之實證分析........................25
第四節 真實性檢定之實證分析..............................30
第五章 結論..............................................31
參考文獻.................................................33
一、中文部分.............................................33
二、英文部分.............................................33
表目錄
表3-1 交易策略之設定.....................................18
表4-1 臺灣50指數成分股名單...............................22
表4-2 臺灣加權指數之實證結果.............................24
表4-3 臺灣加權指數中績效最佳之交易策略...................28
表4-4 臺灣50指數成分股之實證結果.........................29
表4-5 真實性檢定.........................................30

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