臺灣博碩士論文加值系統

自建立資本市場以來，成交量與價格的關係，一直是學界與實務界所關切的議題。在技術分析則將價格與成交量納為重要的資訊。Clark (1973) 提出混合分配假說(The Mixture of Distribution Hypothesis) ， 其後Copeland (1976) 提出連續訊息到達模型(The Sequential Arrival of Information Hypothesis)，說明價量關係；他們皆認為價格變動的絕對值與成交量間存在著正相關。
於是本文利用台股指數期貨建構一個交易策略：當日內成交量瞬間增量時立即進場交易，以當下陰陽線趨勢，跟著順勢作多或作空，並以相同的停損以及停利出場。本研究使用由低量轉高量的絕對瞬間增量以及放大倍數的相對瞬間增量兩種方法進行實證分析。
實證結果發現：1.交易策略的參數，隨著時間軸跟著移動的績效比較好。2. 在不同頻率移動視窗參數，一月測一月訓練期太短，損益波動大，績效差。3. 當成交量瞬間增量時進場，以低量轉高量的絕對瞬間增量或放大某倍數的相對瞬間增量方式進場，配合移動視窗參數，皆可以獲得正報酬。

The subject of the relationship between trading volume and prices which has been academic and practical concerns since the capital market established. For technical analysis, price and trading volume are the important information. Clark (1973) first proposed the mixture of distribution hypothesis and then Copeland (1976) presented the sequential arrival of information hypothesis to explain the relationship between price and trading volume. They all consider that the absolute value of price change and trading volume are positive correlation.
So this paper use Taiwan stock price index futures to construct a trading strategy, that is, when intra-daily trading volume burst production, immediately trading in the market. Following the current trend of candlestick to go long or short and with the same stop-loss and stop-profit to trade out the market. This research using two methods which are low amount of trading volume instantaneously turn into high amount of trading volume of absolute burst production and magnification of relative burst production to proceed empirical analysis.
The empirical results show that first, the performances are better when the parameters of trading strategy change along with timeline; second, the parameters of moving window with different frequencies, which the training period of month corresponds to month is too short to make the profit and loss have large fluctuations and bad performances; third, when intra-daily trading volume burst production, using low amount of trading volume instantaneously turn into high amount of trading volume absolute burst production and magnification of relative burst production immediately trading in the market, and matching the parameters of moving window that both can get positive returns.

目錄

第一章 緒論 1
第一節 研究背景與動機 1
第二節 研究目的 2
第三節 研究架構與流程 3
第二章 文獻探討 5
第一節 期貨 5
第二節 價量關係 7
第三節 陰陽線 9
第三章 研究方法 11
第一節 交易環境設定 11
第二節 研究流程 12
第三節 系統介面 14
第四節 交易策略介紹 16
第五節 交易參數範圍 20
第六節 績效評估 21
第四章 實證結果 22
第一節 固定參數 22
第二節 移動視窗參數 27
第三節 不同頻率移動視窗參數 32
第五章 結論 37
第一節 結論 37
第二節 財務意涵 37
第三節 後續研究建議 37
參考文獻 39

林祺傑，1995，期貨價格波動與交易量之研究，台灣科技大學企業管理研究所碩士論文。
陳逸謙，1999，股價指數期貨的交易量、價格波動與到期期間之關係，台灣科技大學資訊管理研究所碩士論文。
潘靜怡，2011，以技術分析W底型態建構台指期交易策略之實證研究，朝陽科技大學財務金融系研究所碩士論文。
林彥良，2010， 陰陽線理論之應用:建構台灣股票市場投資組合， 國立彰化師範大學商業教育學系碩士論文。
Board, J.L.G. & Sutcliffe, C.M.S. (1990). Information, volatility, volume and maturity:an investigation of stock index futures. Review of Futures Markets, 19(3), 533-549.
Clark, P. (1973). A subordinated stochastic process models with finite variance for speculative prices. Econometrica, 41, 135-155.
Copeland, T. (1976). A model of asset trading under the assumption of sequential information arrival. Journal of Finance, 31, 1149-1168.
Epps, T. & Epps, M. (1976). The stochastic dependence of security price changes and transaction volume: implications for the mixture of distribution hypothesis. Econometrica, 44, 305-321.
Harris, L. (1986). Cross-security tests of the mixture of distribution hypothesis.Journal of Financial and Quantitative Analysis, 21(1), 9-46.
Jenning, R. H., Starks L.T. & Fellingham J.C. (1981). An equilibrium model of asset trading with sequential information arrival. Journal of Finance, 36(1), 143-161.
Karpoff, J. M. (1986). A theory of trading volume. The Journal of Finance, 41, 1069-1082.
Najand, M. & Yung, K.(1991). A GARCH examination of the relationship between volume and price variability in futures markets. Journal of Futures Markets, 11(5), 465-478.
He, L. Y.,Yang, S.,Xie, W. S. & Han, Z. H. (2014). Contemporaneous and asymmetric properties in the price-volume relationships in China’s agricultural futures Markets. Emerging Markets Finance and Trade, 50(1), 148-166.
Tauchen, G. E. & Pitts, M. (1983). The price variability volume relationship on speculative markets. Econometrica, 51(2), 485-505.
Lu, T. H. (2014). The profitability of candlestick charting in the Taiwan stock market. Pacific-Basin Finance Journal, 26, 65–78