Please use this identifier to cite or link to this item: http://hdl.handle.net/11455/89038
標題: 利用貫穿趨勢線規避股市風險之歷史績效檢驗1967-2009
Historical Examination on the Performance of Stock Market Risk Avoidance by Using Trend Line Penetration 1967-2009
作者: Mei-Chu Liao 廖美珠
廖美珠
關鍵字: 貫穿趨勢線;台證指數;道瓊指數;價格濾網;時間數列;反轉型態;多頭市場;空頭市場;權值股;股息;trend line penetration;TAIEX;DJIA;price filter;time series;reversal pattern;bull market;bear market;weighted stocks;dividend
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R.Carter Hill, William.E.Griffiths and George G.Judge, Undergraduate Econometrics , John Wiley &Sons, Inc., 2001. 四、中英文網路資源 1.《聯合知識庫》(http://udndata.com/) 2.《台灣證券交易所統計資料》(http://www.twse.com.tw/ch/) 3.《財訊快報盤後系統》(http://4sight.investor.com.tw/tstock/stock.asp) 4.《YAHOO FINANCE》(http://finance.yahoo.com/) 5.《Wikipedia1967-1996》http://en.wikipedia.org/wiki/1960s-1990s 6.《Business Information (1997-2009)》 http://www.infoplease.com/ipa/A0776432.html#ixzz2YhD1ZLzR 7.《王師傅經濟史部落格》http://echistorywang.blogspot.tw/(2005-2013) 8.《The Journal of Business》(1954 -2006; Chicago University Press) http://www.jstor.org.ap.lib.nchu.edu.tw:2048/journals/00219398.htm 9《The Journal of Finance》Coverage: 1946-2009 (Vols. 1-64) Published by: Wiley for the American Finance Association http://www.jstor.org.ap.lib.nchu.edu.tw:2048/journals/00221082.html8. 10《Journal of Financial Research 》Coverage: 1978-2012(Vols:1-35) http://web.ebscohost.com.ap.lib.nchu.edu.tw:2048/ehost/detail?sid=c025ed45-98e9-4210-bade-5a449c40c700%40sessionmgr14&vid=1&hid=24&bdata=JnNpdGU9ZWhvc3QtbGl2ZQ%3d%3d#db=buh&jid=FRS 11.《Financial Analysts Journal 》Coverage:1965-2013(Vols1-69) http://web.ebscohost.com.ap.lib.nchu.edu.tw:2048/ehost/detail?sid=f6aad405-979a-45ce-9ca0-d28ac04ebcdc%40sessionmgr111&vid=1&hid=113&bdata=JnNpdGU9ZWhvc3QtbGl2ZQ%3d%3d#db=buh&jid=FAJ 12.《Journal of Finance and Quantitative Analysis》Coverage:1966-2013(Vols1-48) http://journals.cambridge.org.ap.lib.nchu.edu.tw:2048/action/displayBackIssues?jid=JFQ
摘要: 
摘 要

股票市場的投資風險,一般認為源自於股價走勢經常受到各種政治、經濟、社會、地理等屬性的好壞訊息所影響,而充滿了強烈的隨機性。但也有經濟學家或技術分析師相信股價指數的變動趨勢,會像歷史一樣不斷重演,形成價格的升降規律或節奏,因此本文的研究動機便是經由研究股價指數的歷史循環性趨勢,尋求相對可靠性較高的交易訊號,以提升目前或未來投資股票市場的避險能力。

為了達到「一圖勝千言」的歷史解釋效果,本文將台灣股市的加權股價指數(TAIEX)及美國股市的道瓊工業指數(DJIA)的43年(1967-2009)之價格指數分別建構成以年為單位的時間數列(TIME SERIES)統計曲線圖。然後從網路上的股市相關之電子資料篩選解釋力較強的歷史事件,以看圖說故事的方式,逐年敘述台股與美股的歷史價格變動因素。同時進一步在歷年的時間數列座標圖上直接繪製支撐切線或壓力切線以貫穿反轉趨勢線,其所形成的貫穿點,可以設定為虛擬交易的買賣訊號並檢驗其43年的歷史績效,計量結果發現,無論台股或美股的累積報酬率都為正值,且遠超過長期持有股價指數之所得。可見得利用大盤指數所建構的貫穿趨勢線來避險套利,是相對可靠的。

本文最終想要探討的主題是:如果利用大盤指數的貫穿趨勢線所形成之買賣訊號套用於台灣股市的個股,是否也同樣能發揮避險套利的功能?台灣股市的個股數多達數百檔,為了求樣本的最大化,本文自28類股遴選30檔最具代表性的權值個股以進行虛擬交易,計量結果發現,利用大盤的貫穿趨勢線之買賣訊號的23年(1987-2009)之累積報酬率都呈現正值,同時30檔的權值個股中也有28檔權值股之報酬率遠超過長期持股的報酬。經由這個假設檢定的計量結果發現,利用貫穿趨勢線的訊號交易,就長時段的歷史績效顯示,確實能夠發揮規避股市風險的能力。本研究結果,同時也為一般人對於股票長期持有和利用訊號交易的兩種論戰,提供一個參考性的學術研究定論。

ABSTRACT
My research topic is about a historical inspection on the performance of stock market risk avoidance by using trend line penetration. The time range of my study is from the year of 1967 to 2009. Generally speaking, stock market investing risk is full of randomness because it is always deeply influenced by different kinds of political, economic, social and geographic information. But some economists and technical analysts believe that the stock price movement can be the same as history repeats itself to form a natural law or rhythm. Therefore my motivation of this paper is to study the stock price index through the history of cyclical trends, seeking relative high reliability of trading signals to enhance current or future confidence to hedge stock market investment.
In order to achieve the historical explanatory efficiency of which the so called ' A graph is worth one thousand words', I try to use Taiwan stock market's TAIEX and U.S. stock market's DJIA for 43 years (1967-2009) of the daily trading price index to construct statistical graphs of yearly time series. Then I sifted the stock market related historical events from electronic information or economic related books to narrative the significant cause and effect of stock price movements in both Taiwan and U.S. stock market.
By the next further step, I drew the support tangent (up trend line penetration) or pressure tangent (down trend line penetration) along the stock price trend , and the points they penetrate through the reverse trend can be set as virtual trading signals and test the performance of its 43-year history. The measurement results showed that the cumulative rate of return, regardless of the Taiwan stock market and U.S. stock market are positive. And it is also far better than the proceeds of long -held stock index. It is visible that using trading signals constructed by trend line penetration to hedge or arbitrage in the stock market is relatively reliable.
In the last chapter of this dissertation I applied stock trading signals constructed by TAIEX trend line penetration to 30 representative Taiwan weighted stocks of 28 stock categories. By doing so, I just hope to know if the trading signals are also able to play hedge function? My estimation through hypotheses test of the 23 year returns (1987-2009) are showing positive and far exceed the value of shares in return for long-term holdings. Through this successful hypotheses experiment on the past 43 years, I firmly believe that my study of using trading signals formed by the trend line penetration can also be used to hedge and arbitrage from the stock investment in the future time.
URI: http://hdl.handle.net/11455/89038
其他識別: U0005-2312201313163800
Rights: 同意授權瀏覽/列印電子全文服務,2015-12-25起公開。
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