| dc.contributor.advisor | 廖四郎 | zh_TW |
| dc.contributor.advisor | Liao, Szu-Lang | en_US |
| dc.contributor.author (Authors) | 蔡綿綿 | zh_TW |
| dc.contributor.author (Authors) | Cai, Mian-Mian | en_US |
| dc.creator (作者) | 蔡綿綿 | zh_TW |
| dc.creator (作者) | Cai, Mian-Mian | en_US |
| dc.date (日期) | 2018 | en_US |
| dc.date.accessioned | 3-Jul-2018 17:27:22 (UTC+8) | - |
| dc.date.available | 3-Jul-2018 17:27:22 (UTC+8) | - |
| dc.date.issued (上傳時間) | 3-Jul-2018 17:27:22 (UTC+8) | - |
| dc.identifier (Other Identifiers) | G1053520421 | en_US |
| dc.identifier.uri (URI) | http://nccur.lib.nccu.edu.tw/handle/140.119/118245 | - |
| dc.description (描述) | 碩士 | zh_TW |
| dc.description (描述) | 國立政治大學 | zh_TW |
| dc.description (描述) | 金融學系 | zh_TW |
| dc.description (描述) | 105352042 | zh_TW |
| dc.description.abstract (摘要) | 技術指標分析方法因其易於理解且操作簡單，在證券投資市場中扮演著重要角色。技術指標主要利用數據的波動來捕捉趨勢轉折點，但過多的短暫波動往往會誤導技術指標，釋放出錯誤的買賣信號，造成交易策略的損失。本文基於短暫性波動影響的考慮，探究改變交易頻率與買賣時間點，是否能夠減小波動的負面影響，使技術指標交叉策略獲得更好的報酬表現。本文以歷史悠久的恆生指數期貨為研究對象，在研究交易頻率時，採用常見的“黃金交叉”策略，即利用指標自身快慢線的交叉為買賣信號，對指數期貨的日資料、週資料、月資料進行實證研究，以觀察降低交易頻率，是否能夠減少短暫性波動的負面影響，幫助技術指標捕捉到精確的買賣訊號。從結果可以看到，記憶力長短不同的技術指標，最佳交易頻率也不相同。對於短記憶指標（KD、RSI）的黃金交叉策略，其在月資料的交易頻率下表現最好，對於長記憶期指標（MACD、DMI）的黃金交叉策略，其在週資料的交易頻率下表現最好。在研究買賣時間點的影響時，利用長、短記憶指標對波動敏感度不同的特點，構造“混合交叉”策略，即以短記憶指標的黃金交叉作為買點，長記憶指標的死亡交叉作為賣點，以避免短暫波動過早地釋放賣出訊號，喪失大波段漲幅。實證表明，在日交易頻率下，技術指標“混合交叉”策略表現均比單獨指標策略要好，說明用長短記憶指標改變買賣時間點，可以減少短暫波動的影響，提升報酬表現。 | zh_TW |
| dc.description.abstract (摘要) | The technical indicator plays an important role in the stock market because of its easy understanding and simple operation. Technical indicators mainly use the fluctuations of data to capture the turning points of trends, but many short-term fluctuations often mislead technical indicators, releasing the wrong trading signals and resulting in the loss of trading strategies. Therefore, this paper studies whether changing the trading frequency and the time points of buying and selling can reduce the negative effects of fluctuations, and enhance the performance of the cross-strategy of technical indicators.This paper takes the Hang Seng Index futures as the research object. When studying the trading frequency, it adopts the common “golden cross” strategy, which uses the intersection of the indicator’s own fast and slow lines as the buying and selling signals. Daily data, weekly data and monthly data are used for empirical research to observe whether lowering of trading frequency can reduce the negative impact of transient fluctuations and help the technical indicators capture accurate trading signals. From the results, we can see that the technical indicators with different lengths of memory have different optimal trading frequencies. For the golden cross strategy of short-memory indicators (KD, RSI), it performs best using monthly data. For the long-memory indicators (MACD, DMI), the gold cross strategy performs best using weekly data.When studying the time points of buying and selling, we construct a “mixed cross” strategy because the long-memory and short-memory indicators have different sensitivity to fluctuations. The golden cross of the short-memory indicator is used as a buying point and the death cross of the long-memory indicator is used as a selling point, to avoid releasing sell signal early because of the short-term fluctuations, and losing large-band gains. The empirical results show that the performance of the “mixed cross” strategy is better than that of the indicator’s respective cross strategy under the daily transaction frequency, which means that changing the time points of buying and selling by mixing the long and short memory indicators, can reduce the impact of transient fluctuations and improve the performance of the returns. | en_US |
| dc.description.tableofcontents | 第一章 緒論 1第一節 研究背景 1第二節 研究內容 2第三節 研究思路 4第四節 創新點 5第二章 文獻回顧 7第一節 市場假說理論 7第二節 技術分析發展歷程 7第三節 技術指標交易策略 9第三章 數據與研究方法 13第一節 數據介紹 13第二節 研究數據 14第三節 指數移動平均 15第四節 技術指標介紹 18第五節 交易策略 22第四章 實證結果 25第一節 交易頻率對交叉策略的影響 25第二節 買賣時間點對交叉策略的影響 32第五章 結論 42參考文獻 45 | zh_TW |
| dc.format.extent | 2787180 bytes | - |
| dc.format.mimetype | application/pdf | - |
| dc.source.uri (資料來源) | http://thesis.lib.nccu.edu.tw/record/#G1053520421 | en_US |
| dc.subject (關鍵詞) | 技術指標 | zh_TW |
| dc.subject (關鍵詞) | 交叉策略 | zh_TW |
| dc.subject (關鍵詞) | 交易頻率 | zh_TW |
| dc.subject (關鍵詞) | 買賣時間點 | zh_TW |
| dc.subject (關鍵詞) | Technical indicator | en_US |
| dc.subject (關鍵詞) | Cross-strategy | en_US |
| dc.subject (關鍵詞) | Trading frequency | en_US |
| dc.subject (關鍵詞) | Time points of buying and selling | en_US |
| dc.title (題名) | 技術指標交叉策略之探究——以香港恆生指數期貨為例 | zh_TW |
| dc.title (題名) | The Cross-Strategy of Technical Analysis: Evidence from Hong Kong Hang Seng Index Futures | en_US |
| dc.type (資料類型) | thesis | en_US |
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| dc.identifier.doi (DOI) | 10.6814/THE.NCCU.MB.002.2018.F06 | - |
