本研究以2015年至2017年間台灣上市公司為研究目標，探討企業經營績效與移動平均法則交易策略之獲利性。本研究利用Tobin’s Q作為企業經營績效代理變數，並將上市公司依照Tobin’s Q大小分為六組。實證結果顯示，台灣上市公司利用移動平均線交易策略得到之報酬率顯著擊敗買進持有策略報酬率，且經過差異性檢定後發現，成長型企業相較於價值型企業，利用移動平均線交易策略會得到比較高的報酬率。此外，經過產業分類後發現，電子業利用移動平均法則所得到的報酬率比傳統產業高。最後，經過5日均線、20日均線、60日均線與120日均線四種策略相互比較後發現，20日均線交易策略在國內股票市場有較好的表現。 In this paper, we take listed companies from 2015 to 2017 as sample to explore the profitability of operating performance and moving average rules. Tobin's Q is used as the proxy variable of operating performance, and listed companies are divided into six groups according to the value of Tobin's Q. Empirical results show that the return of listed companies using moving average trading strategy significantly defeats the return of buy-and-hold strategy. After the independent sample t-test, our results show that by using the moving average trading strategy, enterprises with poor operating performance get higher return than those with good operating performance. In addition, after industry classification, we realize that the return of the electronic industry using the moving average rule is higher than the traditional industry. Finally, after comparing the TS(1,5)、TS(1,20)、TS(1,60) and TS(1,120), we find that TS(1,20) is the best trading strategy.
