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題名:股價同步性與技術分析交易有效性之實證
作者:黃建豪
作者(外文):Huang,Chien-Hao
校院名稱:國立高雄科技大學
系所名稱:財務金融學院博士班
指導教授:蘇玄啟
王銘駿
學位類別:博士
出版日期:2023
主題關鍵詞:股價同步性技術分析資訊不確定性移動平均交易策略Stock Price SynchronicityTechnical TradingInformation UncertaintyMoving Average Strategy
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本文以股價同步性作為公司股價反映公司特定資訊與市場公開資訊關聯之衡量指標,以檢驗並解釋股價同步性與移動平均線(MA)技術交易獲利性之關係。低股價同步性的公司,其股價具有較多資訊不確定性 (IU),意即公司特定資訊較少反映在股價上,使其放大投資者反應不足之偏誤與股價動能效果取得溢酬。本文研究對象為台灣證券交易所與台北證券交易所之上市櫃公司股票,以1997年7月至2021年6月為研究期間,將股價同步性由低至高排序,分為5組投資組合進行測試,檢測是否與股價同步性相關資訊不確定性假設具有一致性。本文實證結果顯示,根據Fama-French 5 因子模型迴歸驗證,低股價同步性投資組合中,移動平均線策略相對於買入持有策略之年化異常報酬率高達18.05%,其高於高股價同步性投資組合策略之年化異常報酬率9.22%。考量不同加權方式投資組合、不同子樣本期間、替代移動平均線策略週期,以及控制市場狀態變數,如市場流動性、市場情緒、經濟政策不確定性以及經濟循環週期,低股價同步性投資組合中移動平均線策略仍維持有效性。
This study investigates how stock price synchronicity, as a measure of how stock prices reflect market-wide information relative to firm-specific information, explains the profitability of moving-average (MA) technical trading. The stocks of firms with less synchronicity have more information uncertainty (IU) (i.e., they reflect less firm-specific information), which amplifies investors’ underreaction bias and the price momentum effect, and are therefore more profitable. Testing a sample of stocks listed on the Taiwan and the Taipei stock exchanges over July 1997–June 2021, these provide evidence consistent with the synchronicity-related IU hypothesis. For a low-synchronicity stock price quintile portfolio, the abnormal returns of an MA strategy relative to a buy-and-hold strategy as estimated by the Fama–French 5-factor model are high at 18.05% per annum and even higher for a high-synchronicity stock price quintile portfolio (9.22% per annum). The MA strategy for low-synchronicity stock price portfolio remains more effective even when considering equally and value-weighted portfolios, testing various sub-periods, considering alternative MA lag lengths and controlling for market variables such as liquidity, sentiment, economic policy uncertainty, and economic cycle.
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