| Abstract: | 本研究選取台灣股票市場流動性前五大之ETF為研究標的,分別為台灣50、寶電子、寶金融、高股息、台商50，以三種單一均線價格突破 (10日、20日、60日)為操作策略法則，分別操作前述之五種ETF，研究期間為2008年至2013年，研究結果顯示以單一均線突破法則操作，多頭操作的方式(不反手放空)，與買進持有策略做比較，結果顯示報酬皆優於買進持有策略，且相較大盤累積績效(加權報酬指數)26.45%具備超額報酬，其中以10日移動平均線操作策略下，總累積報酬分別為台灣50的103.4%，寶電子之111.1%，台商50之131.2%，寶金融188.4%，高股息之195.4%；20日移動平均線操作策略下，總累積報酬分別為台灣50之92.4%，寶電子126.2%，台商50之105.4%，寶金融140.8%，高股息156.6%；60日移動平均線操作策略下，總累積報酬分別為台灣50之87.9%，寶電子76.2%，台商50之119.8%，寶金融102.9%，高股息133.6%，三種策略應用於五檔ETF之績效相較於大盤績效26.45%，三種策略皆有超額報酬。再以統計檢定，成對樣本T檢定，證實以10日移動平均線、20日移動平均線、60日移動平均線三種操作策略下，與買進持有策略之報酬比較，三種策略皆有顯著報酬，以單因子變異數分析三種策略之報酬，10日移動平均線、20日移動平均線、60日移動平均線三種操作策略之報酬並無顯著差異。
This study selects the five most liquid ETFs in Taiwan stock market, namely, they are Taiwan 50, Electronics, Banks, High-Dividend, and Taiwan Business 50. We use average market prices for 10, 20, and 60 days as trading strategies to purchase the above products. The period of this study covers from 2008 to 2013. The results reveal that the strategy of breaking the average price performs better than the bull trading strategy and buy-and-hold strategy. Comparing with market portfolio with stock index, the strategy produces abnormal return of 26.45%. Specifically, the total return with 10 day moving-average strategy for Taiwan 50, Electronics, Banks, High-Dividend, and Taiwan Business 50 are 103.4%, 111.1%, 131.2%, 188.4%, 195.4%, respectively. Similarly high returns are also found for 20-day and 60-day moving-average strategies. The above three strategies all produce abnormal returns which are better than the return of 26.45% for the market portfolio.The t statistics also show that 10-day, 20-day, and 60-day moving-average strategies produce significantly better than bull-trading strategy or buy-and-hold strategy. Particularly, the variance analysis shows that 10-day, 20-day, 60-day moving-average trading strategies do not produce significantly differently. |
