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| DC 欄位 | 值 | 語言 |
|---|---|---|
| dc.contributor.advisor | 胡星陽 | |
| dc.contributor.author | Yu-Chun Cheng | en |
| dc.contributor.author | 鄭宇君 | zh_TW |
| dc.date.accessioned | 2021-06-08T04:24:12Z | - |
| dc.date.copyright | 2010-06-30 | |
| dc.date.issued | 2010 | |
| dc.date.submitted | 2010-06-23 | |
| dc.identifier.citation | 1. Alexander, S. (1961), “Price Movement in Speculative Markets：Trends or Random Walks”, Industrial Management Review, 2,7-26.
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| dc.identifier.uri | http://tdr.lib.ntu.edu.tw/jspui/handle/123456789/22673 | - |
| dc.description.abstract | 技術分析一直以來便在市場上廣為使用。學術界自西元1960年代就開始有許多技術分析的文獻出現。不過大部分的文獻都著重在整體市場的分析，較少有文獻針對個股來探討技術分析的有效性。因此本研究根據二篇理論論文，尋找台灣股票市場技術分析的獲利能力可能與哪些因素有關。
本研究使用二條移動平均線的操作策略，研究台灣股票市場894家上市公司的技術分析超額報酬率，是否與非法人交易比重以及資訊不對稱程度有關，而資訊不對稱的代理變數為公司市值、董監持股比例與股價淨值比。樣本期間為西元1990年1月1日至西元2009年12月31日，並劃分二個子樣本期間。 本研究所獲之實證結果如下： 1. 公司市值在整體樣本與第二個子樣本的顯著性較高，在第一子樣本顯著性較低。 2. 股價淨值比和移動平均超額報酬率之間的顯著性，在不同的樣本期間的情況十分一致。整體而言股價淨值比越高的公司，技術分析的效果越好。 3. 非法人成交比重與移動平均的超額報酬有顯著的相關性。非法人成交比重越大的公司，技術分析效果越好。 4. 如果不考慮非法人成交比重，則公司市值為影響技術分析有效性的主要因素。如果考慮非法人成交比重，則非法人成交比重與股價淨值比為影響技術分析有效性的主要因素。 5. 由於考慮非法人成交比重的四因子模型之R-square較高，因此在本研究之樣本範圍內，加入非法人成交比重的模型解釋能力較好。 本研究之結論為：非法人成交比重越高，或是股價淨值比越高的公司，技術分析的效果將會越好。 | zh_TW |
| dc.description.abstract | This thesis tries to find out some factors that may influent the effectiveness of technical analysis and chooses the simplest and most popular technical trading rule – moving average – by utilizing over 800 stocks from Taiwan Stock Exchange from 1990 to 2009. According to two theoretical papers, there are two theories that may explain the profitability of technical analysis. Therefore two hypotheses are tested: behavioral theory hypothesis and informational theory hypothesis. The proxy variable for behavioral theory is the percentage of non-institutional trading. Three proxy variables for informational theory are capitalization, percentage of insider holdings, and price to book ratio.
The empirical results indicate that the behavioral theory hypothesis is strongly support during the sample period. The percentage of non-institutional trading is statistically significant in regression model. For the other three variables, price to book ratio is also statistically significant, both is full and sub- sample period. Overall the results shows that moving average trading rule provides more excess returns for stocks with higher percentage of non-institutional trading or higher price to book ratio. | en |
| dc.description.provenance | Made available in DSpace on 2021-06-08T04:24:12Z (GMT). No. of bitstreams: 1 ntu-99-R97723014-1.pdf: 381480 bytes, checksum: f7a237755e2f710916ae18a1369002e6 (MD5) Previous issue date: 2010 | en |
| dc.description.tableofcontents | 口試委員會審定書 i
誌謝 ii 中文摘要 iii 英文摘要 iv 第一章 緒論 1 第二章 文獻探討 3 2.1 移動平均相關文獻 3 2.2 技術分析理論文獻 5 第三章 研究假設 7 3.1 行為理論假設 7 3.2 資訊理論假設 7 第四章 研究方法 9 4.1 自變數設定 9 4.2 移動平均線法 12 4.3 迴歸模型 17 4.4 資料來源 18 第五章 實證結果 20 5.1 超額報酬的檢定 20 5.2 變數相關性 23 5.3 迴歸模型結果 24 第六章 結論 28 6.1 結論 28 6.2 研究限制 30 6.3 往後研究建議 30 參考文獻 31 | |
| dc.language.iso | zh-TW | |
| dc.subject | 移動平均 | zh_TW |
| dc.subject | 技術分析 | zh_TW |
| dc.subject | technical analysis | en |
| dc.subject | moving average | en |
| dc.title | 技術分析的有效性：行為與資訊觀點 | zh_TW |
| dc.title | Effectiveness of Technical Analysis: From Behavioral and Informational views | en |
| dc.type | Thesis | |
| dc.date.schoolyear | 98-2 | |
| dc.description.degree | 碩士 | |
| dc.contributor.oralexamcommittee | 陳明賢,蘇永成 | |
| dc.subject.keyword | 技術分析,移動平均, | zh_TW |
| dc.subject.keyword | technical analysis,moving average, | en |
| dc.relation.page | 33 | |
| dc.rights.note | 未授權 | |
| dc.date.accepted | 2010-06-23 | |
| dc.contributor.author-college | 管理學院 | zh_TW |
| dc.contributor.author-dept | 財務金融學研究所 | zh_TW |
| 顯示於系所單位： | 財務金融學系 | |
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