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題名 | 技術指標與股價漲跌幅非線性關係之獲利能力之探討=The Study of the Profitability of the Nonlinear Relationship between Technical Indexes and Stock Price Change |
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作者 | 林金賢; 李淑惠; Lin, Chin-shien; Lee, Shu-hui; |
期刊 | 臺灣管理學刊 |
出版日期 | 20060200 |
卷期 | 6:1 民95.02 |
頁次 | 頁129-156 |
分類號 | 563.54 |
語文 | chi |
關鍵詞 | 效率市場; 類神經模糊; 馬克維茲投資組合; Efficient market; Neuro fuzzy; CRISMA; Markowitz portfolio; |
中文摘要 | 股票之均衡價格決定於股票之供需力道,而供需力道之改變將造成均衡價格之改變。然而由於投資者獲取資訊之成本與速度不同,造成市場上資訊之不對稱,因而產生了套利機會。本研究認為如果能夠經由適當之工具將技術指標與股價漲跌幅間較諸經驗法則更加複雜之關係粹取出來,由於此較為複雜的交易規則將使資訊不對稱之情況更加明顯,使得有能力挖掘此關係者可發掘更多的套利機會,進而產生更多的超額報酬。過去的研究大部分針對技術指標本身之獲利性作探討,本研究則針對CRISMA技術指標與股價漲跌幅間之關係利用類神經模糊技術作進一步之探索,以臺灣摩根成份股作為驗證對象。實證結果顯示,CRISMA交易系統在臺灣股市仍然可以獲取超額報酬,對股票市場資訊充分流通之假設提出一大質疑;而利用類神經模糊粹取出之交易規則較諸原來的交易規則可以產生更多的超額報酬,似乎意味著較複雜之關係確可帶來更多的超額報酬。除此,利用粹取出之交易規則所產生之訊號來建構之投資組合,除了平均報酬率與Sharpe ratio顯著的優於指數法所建構之被動投資組合(passive portfolio)外,在六種不同之投資組合建構方法中具有最高的Sharpe ratio,而且也較諸同期間九十九支開放式股票型基金淨值報酬最優之前十名有較高之Sharpe ratio。對較複雜的交易系統將使得資訊不對稱之情況更加明顯而使得該交易系統可以產生較多超額報酬之假說,本研究之實證結果提供一有利之證據。 |
英文摘要 | The equilibrium stock price is determined by the interaction of supply and demand. A change of demand or supply will change the equilibrium price. However, the arbitrage opportunity happens during the price change when the information asymmetry exists due to the difference of cost and speed among the investors to acquire the information in the market. This research aims to exploit the nonlinear relationship between the technical indexes and stock price change by using neuron fuzzy to obtain excess returns. The empirical results show that the CRISMA trading system can still obtain excess return in Taiwan stock market, which questions the rapid price adjustment hypothesis. Besides, the rate of return from the neuron fuzzy system is better than that of the original CRISMA trading system, which implies that a more complicated trading system could get more excess return due to the information asymmetry. The portfolio constructed by neuron fuzzy has the highest Sharpe ratio among the six strategies in addition to beating the passive portfolio constructed by the index method. When compared with the top 10 funds with the best return within the same period, neuron fuzzy still ahs the highest Sharpe ratio. This research provides an empirical evidence to support the hypothesis that the more complicated the trading system is the harder the information pass among the investors in the market, and therefore, the more the excess return is. |
本系統之摘要資訊系依該期刊論文摘要之資訊為主。