隨機漫步假說()Random Walk Hypothesis)，自從被提出後，一直是個爭議 性的問題，但大多數研究均支持股市的確存有此現象。即使在非隨機漫步股市， 如果投資人沒有正確投資觀念，而運用未經證實的投資策略，或在無投資策略的 情況下，隨心所欲決定買賣點，那麼等於是在一個隨機漫步的股市中投資。本文， 以隨機過程(Stochastic Process)模式及電腦模擬(Computer Simulation)的方法， 來探討在隨機漫步假說成立下，股價走勢的特性以及投資人常用投資策略的結果。 結果發現，在一個具有長期潛在成長利益的隨機漫步股市中，長期持有是最佳的 投資策略。 This Paper is based on random walk hypothesis to study the investment stategies in stock market. Stochastic process models and simulation method are use to analyze the properties of a random-walk stock market. We conclude that buy-and-hold is the best strategy which can obtain the systematic growth profit in stock market. The implications of this research are simple. If there are no existing strategies that can outperform stock market in any meaningful way, why not try a simple policy of buying and holding.
