考量價量關係之選股策略

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Title:	考量價量關係之選股策略
Other Titles:	The Study of Price and Volume Stock-Picking Strategy
Authors:	王靜雪 Wang, Ching-hsueh
Contributors:	資訊管理學系陳世興 Shih-hsin Chen
Keywords:	選股策略;基本分析;技術分析;價量關係 fundamental analysis;stock-picking strategy;technical analysis;the relationship between price and volume
Date:	2012
Issue Date:	2015-01-08 12:01:37 (UTC+8)
Abstract:	如何制定選股策略是投資股票的重要課題，而依據文獻探討，可以發現在股市中，「價」和「量」是一種聯合產物，所以藉由觀察股票的價格與成交量之間的關聯可以預測個股未來的漲跌變化。因此，本研究的主題是考量個股價量相對關係設計出選股的標準，並依篩選出的標的作報酬率計算，驗證本研究的績效。而本研究的實證方法，是與文獻作績效比較。先利用本研究設計的價量計分公式，同時考量台股大盤（TAIEX）相對性強弱為個股打分數，再從台灣50（ETF）的成分股中篩選出個股，並搭配隨機指標（KD）中的J指標決定買賣訊號，進而累計個股獲利，驗證本研究的價量選股策略之有效性。實證結果顯示，在2005年至2007年，本研究每年累積報酬率優於文獻，且個股得分高的強勢股，累積獲利高，驗證本研究的價量選股策略是有效的。　　Stock selection strategy is an important element of equity investments, and as this literature will discusses, “price” and “volume” are interrelated in the market, and by observing the correlations between the observed stock price and trading volume, we will be able to make predictions on individual stock’s ups and downs. That said, the objective of this research is to build a stock selection model based on the relative relationship between stocks’ observed prices and trading volumes, and calculate the return on investment of stocks selected from the resulting criteria. The performance will be compared against historic records. First, we use the price-volume formula we derived from the research, as well as the relative strength of the Taiwan Stock Market (TAIEX) to give a score to each stock in selection of individual stocks from the Taiwan 50 (ETF). We also take into consideration the J value of the KD random index as trading signals to accumulate profits, thus proving the effectiveness of the price-volume stock selection strategy described in this research. We have shown that during 2005 to 2007, the annual accumulated profit resulting from this research is better than that of the record. At the same time, individual stocks that scored higher recorded better accumulated profits. The result of the research validates the effectiveness of the price-volume stock selection strategy described here.
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