頁籤選單縮合
題名 | 以向量自我迴歸模式探討臺灣50成分股報酬率與技術面及籌碼面之關聯性=An Empirical Study on Stock Returns of the Taiwan 50 Constituent Stocks with Technical Indicators and Chip Analysis Using the Vector Autoregression Model |
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作者 | 張維碩; 張智淵; 張書豪; | 書刊名 | 全球商業經營管理學報 |
卷期 | 10 2018.09[民107.09] |
頁次 | 頁177-187 |
分類號 | 563.54 |
關鍵詞 | 技術指標; 臺灣股市; 向量自我迴歸模式; 三大法人; Technical indicators; Taiwan stock market; VAR; Institutional investors; |
語文 | 中文(Chinese) |
中文摘要 | 投資股票是理財方法之一,而股價又非常敏感,不尋常的訊息會使股票報酬率產生大的波動,許多投資人透過技術分析與指標,推估未來的股價走勢,本文藉由向量自我迴歸模式(VAR)來探討應用技術面及籌碼面指標探究個股報酬率,本研究以台灣50成分股的50檔個股為研究樣本,以2012年起至2017年5月31日為研究期間,實證研究模式採用15個變數,探討個股報酬率與技術指標、籌碼面相關變數的關聯性。由實證結果分析可得知,台灣50成分股為大型股,以法人買賣超影響較大,其中又以外資買賣超的影響最大,達到顯著的家數有42家。其次為移動平均線、個股過去的報酬率,以及MACD與週轉率這幾項變數對個股報酬率的影響較為顯著。 |
英文摘要 | Stock investment is one of the wealth management methods. Since the stock market is very sensitive, unusual news may cause volatility and infrequent large moves in stock returns. Many investors use technical analysis to help them predict the stock price trends. This research using the Vector Autoregression Model (VAR) to study the relationship between stock returns, technical indicators and trading activities of institutional investors. The constituents of Taiwan 50 Index are evidenced and the sample period is from 2012 to May 2017. The empirical evidence reveals that among the fifteen variations, the net purchase of foreign investors is the most obvious variable that affects stock returns. In addition, stock returns are influenced by moving average, lag returns, MACD and turnover ratio. |
本系統之摘要資訊系依該期刊論文摘要之資訊為主。