本研究以技術分析中 Big W 和 Big M 為例，探討技術分析是否在股票市場中能產生超額報酬 ? 本研究採用的策略為透過 Big W（Big M）形成買進（放空）時點，並採出場信號為獲利 5 %，持有期間最長不超過 60 日。實證結果顯示所有策略達到 100 % 勝率。運用Big W於證交 50 指數成分股時，日報酬率為 0.93 %，年化報酬率 338.61 %；於中型 100 指數成分股時，日報酬率 0.93 %，年化報酬率 341.03 %。運用 Big M 於證交 50 指數成分股時，日報酬率為 0.79 %，年化報酬率 290.10 %；於中型 100 指數成分股時，日報酬率 0.76 %，年化報酬率 278.70 %。研究結果在統計上或經濟上均達顯著水準。本研究進一步考慮多空市場與市場情緒指標，結果顯示本研究提出的 Big W 和 Big M 交易策略，仍保持顯著 100 % 獲利。
關鍵詞：雙重頂（Big M）、雙重底（Big W）、VIX 指數（Volatility Index）、多空市場（Bull and Bear markets）、夏普指數（Sharpe Ratio）

This study applies Big W and Big M in technical analysis to explore whether excess returns can be generated through technical analysis in stock market. The strategy adopted in this study is to find a point of time for buying (shorting) through Big W (Big M) and close the position when profit reaches 5%, within a 60 days holding period. The empirical results show that all strategies achieve a 100% 100% profit profitability. When Big W is applied on the TWSE 50 index stocks, the daily return is 0.93% and the annualized return is 338.61%. While applied on the Mid-Cap 100 index stocks, the daily return is 0.93% and the annualized return is 341.03%. When applying Big M on the TWSE 50 index stocks, the daily return is 0.79% and the annualized return is 290.10%. While applied on the Mid-Cap 100 index stocks, the daily return is 0.76% and the annualized return is 278.70%. Research results are both statistically and economically significant. This study further puts the bull-bear market conditions and market sentiment indicators into consideration. Results indicate that the Big W and Big M trading strategies proposed in this study still maintain a significant 100% profit profitability.
Key Words：Big M、Big W、Volatility Index、Bull and Bear markets、Sharpe Ratio

中文摘要 ------------------------------------------------------- i
Abstract------------------------------------------------------- ii
誌謝 ------------------------------------------------------- iii
目錄 ------------------------------------------------------- iv、v
表目錄 ------------------------------------------------------- vi
圖目錄 ------------------------------------------------------- vii
壹、緒論 ------------------------------------------------------- 1
（一）研究背景與動機 --------------------------------------- 1
（二）研究目的與問題 --------------------------------------- 2
（三）主要文獻 ----------------------------------------------- 2
（四）樣本說明與主要研究結果 ------------------------------- 3
（五）研究架構 ----------------------------------------------- 4
貳、文獻探討 ----------------------------------------------- 5
（一）技術分析 ----------------------------------------------- 5
（二）技術分析有效性 --------------------------------------- 6
（三）市場情緒與股票報酬率 ------------------------------- 10
（四）文獻總結 ----------------------------------------------- 11
參、研究設計與方法 --------------------------------------- 14
（一）研究假說 ----------------------------------------------- 14
（二）取樣過程與樣本說明 --------------------------------------- 14
（三）變數定義 ----------------------------------------------- 16
（四）敘述統計分析----------------------------------------------- 21
肆、實證結果分析 ----------------------------------------------- 24
（一）Big M 型態與 Big W 型態股票報酬率與超額報酬率 ------- 24
（二）考慮情緒指標 --------------------------------------- 25
（三）考慮多空市場 --------------------------------------- 27
（四）Sharpe ratio --------------------------------------- 28
伍、結論 ------------------------------------------------------- 37
（二）建議 ----------------------------------------------- 38
陸、參考文獻 ----------------------------------------------- 39
附錄一 ------------------------------------------------------- 42
附錄二 ------------------------------------------------------- 44

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