台灣股票市場技術分析效用證實

Abstract

股票為台灣市場中重要之投資標的，而多數投資人倚望透過技術分析來獲得超額報酬，許多國內外學術論文持弱勢效率市場價說研究顯示技術分析並無顯著效用，但真的無法透過技術分析在台灣市場抓準進場時機，進而獲得超額報酬嗎？本研究希望藉由模擬交易驗證技術分析報酬率，採用之技術分析指標為目前市場上四種曾多次被文獻證明其有效性之指標，分別為移動平均線、相對強弱指數、隨機指標及指數平滑異同移動平均線。研究樣本由895間台灣上市公司，採隨機抽樣的方式選取145間公司設為樣本，而模擬交易觀察期為2007年4月14日至2017年4月14日，十年共2,477筆股價日資料。 筆者採用兩種模擬交易策略，分別為『買進持有策略』及『技術分析買進賣出策略』，『技術分析買進賣出策略』使用上述四種技術分析，制定個別買進賣出策略並進行交易，兩種策略共得出5種不同淨值報酬率，再運用假說檢定各種技術分析策略下之淨值報酬率是否顯著高於買進持有策略之淨值報酬率。本研究結果為，相對強弱指標（RSI）能帶來最為顯著異常報酬，且獲得本策略最高單位風險報酬，十年平均每單位風險報酬為59%。假說檢定移動平均線之淨值報酬率結果不顯著異於買進持有策略之淨值報酬率，因此無法證實移動平均線在台股市場有異常報酬。 本研究之第二階段透過建立回歸模型希望了解，技術分析所能帶來之異常報酬高低是會被其他因子如產業、平均股價、流通率影響。多元回歸檢定結果指出，技術分析所帶來異常報酬會顯著被產業影響，其中以水泥、食品、塑膠等傳統產業異常報酬最為顯著。

Company stock has been an important underlying investment in the Taiwanese market. While many experience excess return using technical analysis, many foreign research indicated that technical analysis is not effective. Most of the literatures support weak form of market efficiency too; however, is it true to say technical analysis cannot yield excess return in the Taiwanese market? This study uses 4 currently widely used technical analysis indexes: Moving Average (MA), Relative Strength Index (RSI), Stochastics (KD), and Moving Average Convergence / Divergence (MACD) in an attempt to identify the effectiveness of technical analysis in the Taiwanese stock market. 145 out of 895 companies were randomly chosen, and each of their daily stock prices were gathered from April 14, 2007 to April 14, 2017. Both 'buy and hold strategy' and 'buy and hold based on technical analysis' were used, and the result indicates that RSI is able to bring significant excess return, with the highest risk return of 59% over 10 years. The second part of the study tries to identify factors that can explain such abnormal return, with factors such as industry, average stock price, and liquidity. Cross sectional analysis indicates that industry can explain the abnormal return using technical analysis. Among the industries, traditional industries such as cement, food and beverages, and petroleum have the most significant abnormal return.