Stochastic oscillator indicators employed in capital markets

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Title:	Stochastic oscillator indicators employed in capital markets
Other Titles:	SOI交易指標在資本市場之應用
Authors:	廖怡晴;Liao, Yi-Ching
Contributors:	淡江大學管理科學學系博士班倪衍森;Ni, Yen-Sen
Keywords:	反向策略;動能策略;過度反應;隨機指標;Contrarian Strategy;Momentum Strategy;overreactions;stochastic oscillator indicators
Date:	2016
Issue Date:	2017-08-24 23:39:20 (UTC+8)
Abstract:	大多數的投資人或多或少會按照技術分析來交易股票。此外，個別投資者也往往會依照技術指標所發出的訊號來決定交易的時機。雖然技術分析在現實世界中廣泛地採用，然而技術分析在學術研究上卻相當地的有限。因此，本論文乃探討採用技術分析指標，並聚焦於SOI交易指標在資本市場上應用。本論文為所探討與SOI有關的二個研究文章，第一篇為採用SOI交易規則，來以三個相當具有代表性指數：道瓊30、富時100、上證50之成分股為研究標的，來探討投資人當SOI交易訊號發出後時介入是否有利可圖。其結果對於富時100成分股而言，投資人可採用反向策略於SOI 發出賣超交易訊號時購入，而且短期持有會較為有利，此與過度反應假說相一致。然而，就上證50成分股而言，當SOI發出超買訊號時購入時，採用長期持有時會較為有利，亦為動能交易策略的採用可能較為合宜。第二篇，雖然我們認為在實務上隨機指標連續幾天在過度反應區可能導致股票價格追高（低），此外就我們所知隨機指標位於過度反應區連續二天、三天、四天等議題似乎在現有的文獻未被詳細探討過。是以本研究乃探討當隨機指標位於過度反應區連續不同的天數時介入是否有超額報酬，其研究結果顯示，動能交易策略較適用於隨機指標持續出現於超買區時，可長期持有道瓊30、富時100、上證50這些成分股，反向策略則較適用於隨機指標連續出現超賣區，則比較適合短期介入，其成因持續落於超賣區可以肇因於過度反應現象所致。總之，我們認為技術分析仍然有值得探討的空間，因為若技術分析在實務上無任何舉足經重的地位，則財經頻道、財經雜誌，網際網絡上不應出現那麼多的與技術分析有關的資訊。 Most of market participants earn profits through the use of the technical analysis for trading stocks. In addition, individual investors often decide the trading timing in accordance with the trading signals emitted by technical indicators. Even though technical analysis are wildly employed in the real world; however, the technical analysis issues investigated seem to be limited in the academic aspects. Therefore, we endeavor to explore more valuable information retrieved from SOI trading rules due to these trading rules closely related with the wisdom proposed by the overreaction hypothesis. In this thesis, we incorporate two essays related to SOI trading rules in order to retrieve more valuable information in term of SOI deliberately. Essay one employ the SOI trading rules for investigating whether investors are able to make profits for the constituent stocks of three representative indices including the DJ 30, FASE 100, and SSE 50. The results reveal that investors may benefit from the use of the contrarian strategy as oversold trading signals are emitted for constituent stocks of FTSE 100 in the short-run holding period, which is consistent with the overreaction hypothesis. In contrast, we show that the momentum strategy would be more appropriate when trading constituent stocks of SSE 50 as overbought signals emitted, especially for the long-run holding period. In essay two, although we argue that the SOI staying in overreaction zones for consecutive days likely resulting in chasing stock price higher (lower) often appeared in the real world, this issue, to the best of our knowledge, seems unexplored in the existing literature. Results show that momentum strategies are appropriate for holding these stocks in the long run as the SOI staying in overbought zones, whereas contrarian strategies are more proper for holding these stocks in the short run as the SOI staying in oversold zones. The results may benefit for investors to trade these stocks as the SOI staying in overreaction zones for consecutive days. In sum, we argue that the issues in term of technical analysis are worthwhile for investigation, since the information in term of technical analysis might not be appeared in the financial channels, magazines and websites if technical analysis does not matter in the real world.
Appears in Collections:	[Department of Management Sciences] Thesis

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