台股技術面、基本面與投資週期交易策略之再探討

Abstract

台灣股票市場交易風氣興盛，對於公開資訊的解讀向來有各種說法，使投資人難以判斷有效的資訊進而做出錯誤的決策。因此，本研究根據基本分析與技術分析的概念，試圖歸納出有系統的交易策略，讓投資人可以更有依據地去決定進出場時機點，減少不必要的投資損失。 一般市場所用的投資工具不外乎為基本分析和技術分析兩種，雖然兩種分析方法的立場不同，但並非為完全互斥。因此，本研究結合兩種分析方法，提出兩種交易策略。第一種策略針對Pruitt and White(1988)所提出的CRISMA交易策略作修正，考慮到四條不同長短的移動平均線具有不同的遞延性，再配合相對強弱指標與雙重移動平均線構成新的技術分析指標交易策略；第二種策略則基於趨勢的概念，找出股市的平均循環期間而形成的股市循環波段斜率策略。 本文研究期間自西元2002年至2011年止，樣本為台灣證券交易所上市之公司，主要探討此兩種交易策略，是否具有異常報酬。在考慮基本面與交易成本的情況下，實證結果發現，本研究所提出的兩種策略的確具有異常報酬，且基本分析能大幅減少交易成本以及損失的發生，有助於一般投資人減少不必要的風險。投資人應考慮到自身的風險承受程度設立出場的條件且嚴格執行，並以理性的態度去判斷市場的所有資訊，吸收更多的財務知識，找到最適合自己的投資策略，才能獲得穩定的投資績效。In Taiwan, the stock market is filled with noise information and is prosperous in stock trading. Therefore, it is difficult for investors to make accurate and efficient trading decisions. In the current study, we try to form some trading strategies which are based on fundamental and technical analysis and hope that such strategies can provide investors a systematic stock investing decisions. This study retrieves relevant information from financial statement which is later used by fundamental analysis and technical analysis. These methods are not mutual exclusive. The first strategy named technical analysis indicator strategy which revises CRISMA trading rules uses several indices, including four moving averages, relative strength index, and double moving average of volume. Second, based on the concept of trend, we find the average cycle period of the stock market and induce the second strategy named cycle strategy. Our sample period ranges from 2002 to 2011, including all the listed firms. The goal of this paper is to examine whether the two strategies can get excess return. In our empirical finding, with the fundamental analysis and transaction cost, both strategies have excess return. It proves our strategies are useful. Also, fundamental analysis decreases many transaction cost and losses and actually reduces the risk and increase the possibility of earning profit overall. As a result, our strategies can get excess returns. Investors should set different cash-out points according to their risk tolerance and execute it strictly. Also, they should learn more relevant knowledge, make judge on all the information of the market in a rational manner, and find the most suitable investment strategy to generate stable returns.