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    Please use this identifier to cite or link to this item: http://tkuir.lib.tku.edu.tw:8080/dspace/handle/987654321/87201

    Title: 臺灣股市效率市場之研究 : 以42日移動平均線為例
    Other Titles: The study on EMH for Taiwan stock market : the example of 42-day moving average
    台灣股市效率市場之研究 : 以42日移動平均線為例
    Authors: 戴柏儀;Tai, Po-Yi
    Contributors: 淡江大學財務金融學系碩士在職專班
    聶建中;Nieh, Chieh-Chung
    Keywords: 移動平均線;技術分析;台股交易;葛蘭碧八大法則;效率市場;Moving Average;Technical Analysis;Taiwan Stock Trading;Granville Method;EMH
    Date: 2012
    Issue Date: 2013-04-13 10:50:55 (UTC+8)
    Abstract: 根據歷史的研究報告針對技術分析有效性,有許多研究對於買進持有策略是呈現顯著的效果,亦有呈現失敗的例子,似乎在各項研究報告中,研究期間長短、樣本標的、參數依據…等都會影響到最後的研究結果,所以在撰寫此論文之前提是此研究假設技術分析中的移動平均線(MA)對於台股是有效的,而且可以在長時間的操作中依選時的優異能力超越買進持有策略。
    According to the historical studies of the effectiveness of technical analysis, many studies for the buy-and-hold strategy present significant effects but also failures; It seems that in these studies : the duration, the sample of the objects, parameters ... etc., will affect the final results. So in this thesis, we assumed that technical analysis in moving average (MA) for the Taiwan stock market is effective, and is better than the strategy of buy-and-hold in long-running trading strategy with the selection of excellent ability.
    This study puts more efforts on the method of application of moving average (MA) , to modify the common usage on moving average (MA) parameters in the market. In the Taiwan stock market and the OTC market, there were 189 companies picked to be samples. The selecting conditions base on the total market value NO. 1 and NO.2, tier 1 and tier 2 on stock turnover rate, top 1 and 2 of high-volatility but underperformance. Each industry can be 1 ~ 6 samples, from January 2, 2002 to January 18, 2012. To improve that the 42-MA can outperform the strategy of buy-and-hold, and can select the optima stock effectively, we compared with the rate of return.
    In this research for the comparison between the strategy of 42-MA and the strategy of buy-and-hold , we had some conclusions:
    1. The strategy of 42-MA can optima the rate of return more than the strategy of buy-and-hold.
    2. The strategy of 42-MA can avoid the downside risk from the matured or recessional industries, proprietor of moral hazard, and keep the total rate of return stable.
    3. The strategy of buy-and-hold can also outperform the strategy of 42-MA when the stock has low volatility, stable EPS and dividend policy, higher book value.
    Appears in Collections:[財務金融學系暨研究所] 學位論文

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