結合基本分析與技術分析程序化交易之實證研究－以臺灣股票市場為例;An Empirical Study of Algorithm Trading by Using Fundamental Analysis and Technical Analysis with Applications to Taiwan Stocks.

NCUIR > School of Management at National Central University > Executive Master of Finance Management > Electronic Thesis & Dissertation > Item 987654321/80821

Please use this identifier to cite or link to this item: http://ir.lib.ncu.edu.tw/handle/987654321/80821

Title:	結合基本分析與技術分析程序化交易之實證研究－以臺灣股票市場為例;An Empirical Study of Algorithm Trading by Using Fundamental Analysis and Technical Analysis with Applications to Taiwan Stocks.
Authors:	曾宇皓;Tseng, Yu-Hao
Contributors:	財務金融學系在職專班
Keywords:	基本分析;技術分析;程序化交易;移動平均線MA;趨勢平均線ADX;Fundamental analysis;Technical analysis;Algorithm trading;Moving Average (MA);Average Directional Index (ADX)
Date:	2019-07-26
Issue Date:	2019-09-03 15:09:49 (UTC+8)
Publisher:	國立中央大學
Abstract:	本研究以基本面選股為基礎，結合了K線的移動平均線MA與趨勢平均線ADX建構交易策略，驗證將基本分析、技術分析相結合後的實證結果，是否能讓投資人獲得正報酬。研究樣本為臺灣上市櫃公司共37家，研究期間自2000年1月1日至2017年12月31日止。實證結果顯示，本研究建構的交易策略於2000年至2017年的18年間總報酬率相當高，同時優於加權股價指數之績效報酬率以及臺灣銀行一年期定期存款固定利率之複利報酬率。;To analyze whether the empirical way which combined Fundamental analysis and Technical analysis methods in the stock market could gain a positive return or not, this study used Fundamental analysis to build a stock pool first and then employed the Moving Average (MA) as well as the Average Directional Index (ADX) to construct a trading strategy. There were 37 companies as the research samples which were from the listed company at the stock exchange market and listed company at the over-the-counter market in the stock pool. The research period was from January 1, 2000 to December 31, 2017. The empirical results showed that the total return rate of the trading strategy constructed in this study was quite higher than the performance rate of the Taiwan Stock Exchange Capitalization Weighted Stock Index (TAIEX) and the performance of a compounded one-year fixed deposit fixed rate of the Bank of Taiwan during the research period.
Appears in Collections:	[Executive Master of Finance Management] Electronic Thesis & Dissertation

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