外匯市場技術分析之研究

Abstract

匯率經濟是國際經濟學者主要研究的課題之一，經濟學家從經濟 基本面來分析匯率，然而許多學術文獻實證研究發現，傳統經濟理論模型之預測能力並不顯著，形成匯率經濟決定理論之Puzzle。因此，有些學者開始嘗試用市場微結構(Microstructure)來研究匯率之波動。無論是基本分析、市場微結構或是技術分析，其最終目的都是想要解答同樣一個最根本的問題：匯率是否能被預測？ 本文從技術分析的觀點，利用程式交易進行回溯測試。研究期間 為1986年至2005年，對11種貨幣之匯率日資料，選用8種技術分析常用的技術指標：移動平均線(MA)、指數平滑異同平均數(MACD)、隨機指標(KD)、相對強弱指標(RSI)、動量指標(MTM)、停損點反向操作指標(SAR)、趨向指標(DMI)、通道突破指標(Channel)，實證研究分析發現：1.順勢交易系統優於區間交易系統。2.利用技術分析無法獲得超額報酬。因此，外匯弱式效率市場成立。

The economics of exchange rates is one of the primary focuses of international economists, who analyze the foreign exchange rates from the fundamentals of economics. Many academic literatures and empirical studies, however, indicate the prediction ability of traditional economic models is not significant. The observation becomes the puzzle of the exchange rate determination. Therefore, other scholars began to attempt to examine exchange rate fluctuation via the market microstructure theory. Whether it is fundamental analysis, market microstructure or technical analysis, the ultimate purpose is the same – to answer one most basic question: Can the foreign exchange rates be predicted? From the perspective of technical analysis, this study conducts back testing through program trading systems. The period of study spans from 1986 to 2005. For the daily exchange rate data of 11 currencies, 8 frequently used technical analysis indicators are selected: MA, MACD, KD, SAR, MTM, SAR, DMI and Channel. Findings of the empirical analysis indicate: 1.The trend-following trading systems is superior to the range trading systems. 2. Technical analysis is cannot help obtain excess returns. Therefore, the weak form foreign exchange market efficiency stands.