技術分析在共同基金交易擇時能力實證~以停損點反向操作指標(SAR)為例~; Technical Analysis of Timing Ability of Selecting Mutual Funds ~An Application of the SAR (Stop & Reverse)Indicator~

NCUIR > School of Management at National Central University > Executive Master of Finance Management > Electronic Thesis & Dissertation > Item 987654321/12302

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Title:	技術分析在共同基金交易擇時能力實證~以停損點反向操作指標(SAR)為例~;Technical Analysis of Timing Ability of Selecting Mutual Funds ~An Application of the SAR (Stop & Reverse)Indicator~
Authors:	林鈺純;Yu-Chuen Lin
Contributors:	財務金融學系碩士在職專班
Keywords:	停損點轉向指標;共同基金波段操作;SAR;Stop & Reverse Indicator
Date:	2009-05-06
Issue Date:	2009-09-22 14:44:37 (UTC+8)
Publisher:	國立中央大學圖書館
Abstract:	近年來許多研究指出金融商品的價格走勢具有非線性特質，而且在某段期間內呈現趨勢，有愈來愈多的證據顯示技術分析交易法則能夠察覺金融商品價格未來變動方向。本論文選取同時具有買賣訊號、波段操作且停損機制的『停損點反向操作指標』(Stop And Reverse，簡稱SAR)技術分析指標，較貼近實務人為應用的特性來評估技術分析指標交易法則在共同基金進出操作上的應用。在考慮交易成本的實證結果顯示下，應用在共同基金的SAR技術指標以單向「做多操作」進出與買進持有策略作比較，在排除債券基金之後，均顯示SAR指標交易法則績效明顯優於買進持有策略，證明技術分析指標在股票基金的進出應用上是可行的，在實務界常用之指標參數(SAR4，AF0.02，倍數上限10倍到0.2)，在此研究中由於將日線轉成周線，倍數上限並不適用到10倍。研究並發現，不同類型或區域的股票基金適用的加速因子不同，全球型基金或歐美的一般股票基金(已開發國家)適用(AF0.02，倍數上限5倍到0.1)的參數，新興市場類的基金則多數採用0.03~0.04的加速因子(AF)。樣本基金在最佳化參數SAR技術操作下與買進持有策略做成對母體T檢定，得出的T統計量7.2明顯大於1.9，表示樣本基金依SAR進出操作所創造出的報酬明顯優於買進持有策略， SAR技術指標應用在共同基金上是具有擇時能力的。 Recently, much research indicates that the price movement of financial products not only shows nonlinear characteristics, but also shows a trend within a specific time period. More and more research results show that technical trading rules can predict future price movement of financial products. In this paper examines the SAR indicator (Stop & Reverse), which can provide the timing of Buying & Selling and Stop Loss, ... , to assess the technical analysis trading indicator rules, applied to mutual funds. When comparing the empirical results of the transaction costs for a) the SAR indicator applied to mutual funds (using one-way "Long-Trade Strategy") and b) Buy & Hold Strategy, the results show that - after exclusion of bond funds - SAR Strategy is better than Buy & Hold Strategy. This proves that the technical indicatir trading principle is applicable to Equity Funds. However, this study did not use the most common indicator parameters (SAR4, AF0.02, with max. value for the acceleration factor set at 0.20), due to changing the measurement frequency from daily to weekly units. This study also shows that different types of Equity Funds and Equity Funds in different regions have different acceleration factors. Global equity funds or equity funds in Europe amd America (develped countries) have an acceleration factor of AF0.02 (with max. value for the acceleration factor set at 0.10), whereas the common parameters for equity funds in emerging markets are AF0.03 ~ 0.04. The T-Test for sample funds - using optimized parameters for SAR analysis - reached a T-Test result of 7.2. This result is significantly higher than that of the Buy & Hold Strategy ( ...=1.9). Therefore, the return for the application of SAR for the sample funds is much better than that of Buy & Hold Strategy. This shows that the SAR technical indicator has the ability of market-timing .
Appears in Collections:	[Executive Master of Finance Management] Electronic Thesis & Dissertation

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