考量價量關係的股票市場技術指標

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Title:	考量價量關係的股票市場技術指標
Other Titles:	A new technical indicator considers the relationship between price and volume of stock market
Authors:	王宜信 Wang, Yi-hsin
Contributors:	資訊管理學系陳世興 Shin-hsin Chen
Keywords:	買賣時機;價量關係;技術指標;技術分析 technical analysis;price and volume relationship;investment timing;technical indicator
Date:	2012
Issue Date:	2015-01-08 12:01:39 (UTC+8)
Abstract:	股票市場的投資者最關心的兩個層面，第一是怎麼選股，找到好的投資標的；第二是如何決定買賣的時機，而本研究之主軸在於此。而投資市場中常用的技術指標已被投資人廣泛地用於決定買賣時機，但市場中常用的技術分析方法已太多人使用，資訊的取得變得相對容易，其參考價值卻大打折扣。此外，過去的技術指標沒有同時考慮股價與成交量的關係，許多文獻指出，只考量一項變數當作投資的依據，是不夠嚴謹和明智的，因此本研究將提出一個新的技術指標能同時考量價量關係，得到較佳之投資買賣點。　　　本研究考量價量關係的七種情況，將個股每日的交易資料轉換成每日得分，再利用此數值轉為短天期與長天期移動平均線，並利用兩條均線的交叉情況預測股價未來漲跌，進而得到買賣時機。例如，當短天期向上突破長天期均線時，進行買進；當短天期向下跌破長天期均線時，賣出持股。根據實證測試結果，本研究的獲利能力與文獻不相上下，且交易次數較少，加上容易使用，顯示新指標的確能提供市場上的投資者更具價值的參考依據。　　The two things equity investors are most concerned with are: 1) stock picking - finding a good investment target, and 2) timing of purchase and sale. That said, these two things will be the main theme of this research. Although common technical indicators are being widely used by investors to determine time to enter market, these techniques have been used by too many, obtaining these information have been made relatively easy, thus making these references less valuable. In addition, past technical indicators did not take into consideration the relationship between stock prices and trading volume. Many researches have shown that using a single variable as the basis of investment is insufficient and unwise. In view of the above, this research will propose a new technical indicator that takes into consideration both stock price and trading volume at the same time, thus making it superior in terms of investment timing. 　　　This research involves seven scenarios of the price-volume relationship, converts the daily transaction data of individual stocks into daily scores, then takes the scores and transforms those into short-term, as well as long-term moving averages. The crossing of the two averages will be used to predict the trend of the stock prices in the future, thus indicating the timing of investments. For example, when short-term moving average line breaks above the long-term moving average, it indicates a buy; when short-term moving average falls below the long-term moving average, it indicates a sell. Based on the empirical test results, the performance of the strategy discussed in this research was comparable with historical records, but involves less transactions while being easy to use. We can conclude from this that the new technique can provide investors a more valuable market reference.
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