波浪分析於台灣股票市場之研究

Abstract

本文以波浪理論(Elliott Wave Principle)為出發點，旨在探討其是否適用於台灣股票市場。然而波浪理論最為人詬病之處，即為其模糊不清的波浪計數，常讓使用者不知身處於哪個波浪之中。因此，本文針對Bill Williams提出的『一致性獲利法』(Profitunity Approach)稍作修正，欲為波浪理論制訂一套較客觀的判別準則。本文之研究期間為2004/1/1至2006/12/31，從台灣五十指數成分股中選出36檔股票為研究標的，並依據波浪計數進行交易。結果發現，不論是將這36檔股票視為一整體進行檢定，或是個別檢定，交易的報酬都顯著大於0，顯示台灣股票市場適用於此修正後的波浪理論。

In The Wave Principle, R. N. Elliott (1938) proposed a framework towards the stock market analysis. However, Elliott wave principle has a serious problem: the wave counting is too ambiguous and subjective. In order to solve this drawback, Bill Williams (1995) integrated Fibonacci numbers, Elliott wave principle, Fractal geometry, and Chaos theory to develop the Profitunity approach. This thesis used a modification of the Profitunity approach to examine Taiwan stock market. We found that this modified trading rule obtained significantly positive weekly returns. Therefore, Taiwan stock market seems to conform to the four underlying theories and their main implication that stock market is a product of a nonlinear dynamical process.