技術分析對中國股價變化趨勢的準確性探究

Abstract

這幾年國際經濟相對蕭條，中國的經濟雖然保持著穩定增長，但是通貨膨脹的壓力也接踵而來，國內物價持續上漲，工資收入的增長卻追不上通膨的變化。因此如何能讓資產增值，成為眾所關注的問題，因此各式的投資理財商品就顯得重要了。一般的投資理財方式不外乎儲蓄、購買房地產、基金、股票、債券、外匯、期貨、保險等。這些商品各有各的優缺點，本論文是針對股票這個投資商品來作為研究物件的。 雖然政府常提醒，股市有風險、入市需謹慎，由於股票市場具有高風險、高收益的特點，因此吸引了眾多的投資人浮沉與其中，如何選對股票能獲取超額的投報率就成為投資者很重要的課題。市場上常用的選股方法不外乎是基本分析法，技術分析法及演化分析法，哪個方法能獲得超額利益，百年來一直是投資者在專研探討的。 本論文是以中國滬深兩市交易所所編列發佈的各種指數為取樣物件，時間是從2004年元月1日到2013年12月31日這10年的股市歷史交易記錄為範圍，以一年 242 個交易日做為樣本週期，每週五個交易日作為取樣的長度，也就是每隔5個交易日取一個樣本，至少要能取出超過30個樣本數的指數我們才會取用(上海證券交易所43個指數，深圳證券交易所41個指數，合計84檔指數)，。然後從技術分析方法出發，透過市場上常用的五種技術指標(隨機指標、移動平均線指標、指數平滑異同移動平均線指標、相對強弱指標、威廉指標)及其10種參數各自不同的買賣方式，分別對這84檔指數進行買賣時機及價格的演算，然後計算出其年報酬率，將此結果與透過買進持策略操作所得的年獲利率做比較，判斷出技術指標在中國股票市場裡的操作策略年獲利率是高於還是低於買進持有策略的年報酬率。這樣可以分析出哪些股票是適合透過技術分析手段可獲得較高的年報酬率，同時可以得到一個各股所對應技術指標的排行榜，這對於投資股票無疑是一個值得參考的資料。

In recent years, the international economy is relatively in recession. Although China's economy maintained a steady growth, inflationary pressures are also coming up. Home prices continued to rise, wage growth has failed to catch up to inflation changes. So how can one keep the asset value high，that is a big issue of concern to the public. This is why a variety of finance and investment goods becomes important. The usual way to invest and conduct financial transactions is thru savings, buying real estate, funds, stocks, bonds, foreign exchange, futures, insurance and so on. These commodities each have their own advantages and disadvantages. This paper is focus on stock investments in goods as the research object. Although the government often remind people of stock market risk, and investors should be careful. People are attracted to it because the stock market is a high-risk, high-yield product. For investors, how to select a high profit share is very important. Choosing high profit share method is nothing more than the basic stock analysis, technical analysis and evolution analysis. For hundreds of years, it has been how investors find profitable stocks to invest in.This paper is based on Shanghai and Shenzhen stock index as the provision for our sampling base. From January 1, 2004 to December 31, 2013 the 10-year historical index of the stock market transactions in the range of, 242 days a year as the sample period, five days a week as a sampling length (That is take a sample every 5 days ), at least more than 30 samples of the index is necessary for our analysis (Shanghai Stock Exchange 43 Index, the Shenzhen Stock Exchange 41 Index, 84 files total index). Using the technical analysis methods, utilizing five commonly used technical indicators (Stochastic Oscillator，Moving average，Moving Average Convergence / Divergence，Relative Strength Index，William OverBought/OverSold index) and 10 different parameters to be analyzed for each of these 84 indices in order to identify the appropriate time and the sale price, and then calculate its annual rate of return. Developing a buy and hold strategy for profitability, and to cross reference and compare them to find out which one is relatively better and more profitable. So that you can scientifically analyze what which stock will yield a higher annual rate of return through technical analysis tools. At the same time, we can all get a share of the corresponding technical indicators rankings which is undoubtedly a worthy reference data.