臺灣博碩士論文加值系統

以台灣股票市場為例，本文係依照該公司是否有發行個股選擇權為條件，加以分群為投資組合，然後應用技術分析中的移動平均(MA)策略之獲利能力，來研究資訊不確定性的角色。結果顯示，即使在有考慮交易成本的情況下，『沒有』發行個股選擇權投資組合，其移動平均策略的表現，很顯著地優於買進持有策略。但是若『有』發行股票選擇權投資組合，則其移動平均策略的表現，並不會顯著地優於買進持有策略。此結果支持『沒有』發行股票選擇權的股票，展現出較大的資訊不確定性之假說。而且，價格連續性愈大，這也意味著移動平均策略有較佳之表現。

Using a sample of Taiwan stock market, this paper investigates the role of information un- certainty in the profitability of technical analysis by applying a moving average (MA) strategy to portfolios grouped according to whether firms issue stock options. Results indicate that, even though considering transaction costs, the MA strategy significantly outperforms the buy-and-hold strategy on the portfolio without option issuance, but not on the portfolio with option issuance. The results support the hypothesis that stocks that do not issue options exhibit greater information uncertainty, and thus greater price continuation, which in turn implies a superior performance of the MA strategy.

目 錄
摘要 i
ABSTRACT ii
誌 謝 iii
目 錄 iv
表 目 錄 v
圖 目 錄 vi
壹、緒論 1
一、研究背景與動機 1
二、研究目的 3
三、主要研究結果 4
四、主要研究貢獻 5
五、研究架構 6
貳、文獻探討 6
一、MA獲利能力探討 7
參、研究方法 10
一、樣品選擇 10
二、在『沒有』與『有』發行個股選擇權投資組合時，移動平均策略之獲利能力 10
肆、實證結果分析 14
一、發行個股選擇權之股票成交量 14
二、『沒有』與『有』發行個股選擇權的公司特徵 15
三、在『沒有』與『有』發行個股選擇權投資組合時之MA策略獲利能力 15
伍、穩健性分析 19
一、考慮交易成本 19
二、使用改變延滯期來進行MA策略 21
三、控制不同的景氣循環規則 23
四、控制市場成交量 25
陸、結論 27
參 考 文 獻 28

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