淡江大學覺生紀念圖書館 (TKU Library)
進階搜尋


系統識別號 U0002-0701201622070400
中文論文名稱 SOI交易指標在資本市場之應用
英文論文名稱 Stochastic Oscillator Indicators Employed in Capital Markets
校院名稱 淡江大學
系所名稱(中) 管理科學學系博士班
系所名稱(英) Doctoral Program, Department of Management Sciences
學年度 104
學期 1
出版年 105
研究生中文姓名 廖怡晴
研究生英文姓名 Yi-Ching Liao
學號 897620166
學位類別 博士
語文別 英文
口試日期 2015-12-22
論文頁數 55頁
口試委員 指導教授-倪衍森
委員-李命志
委員-邱建良
委員-俞明德
委員-陳達新
委員-盧陽正
委員-林鳳儀
中文關鍵字 反向策略  動能策略  過度反應  隨機指標 
英文關鍵字 contrarian strategy  momentum strategy  overreactions  stochastic oscillator indicators 
學科別分類
中文摘要 大多數的投資人或多或少會按照技術分析來交易股票。此外,個別投資者也往往會依照技術指標所發出的訊號來決定交易的時機。雖然技術分析在現實世界中廣泛地採用,然而技術分析在學術研究上卻相當地的有限。因此,本論文乃探討採用技術分析指標,並聚焦於SOI交易指標在資本市場上應用。

本論文為所探討與SOI有關的二個研究文章,第一篇為採用SOI交易規則,來以三個相當具有代表性指數:道瓊30、富時100、上證50之成分股為研究標的,來探討投資人當SOI交易訊號發出後時介入是否有利可圖。其結果對於富時100成分股而言,投資人可採用反向策略於SOI 發出賣超交易訊號時購入,而且短期持有會較為有利,此與過度反應假說相一致。然而,就上證50成分股而言,當SOI發出超買訊號時購入時,採用長期持有時會較為有利,亦為動能交易策略的採用可能較為合宜。

第二篇,雖然我們認為在實務上隨機指標連續幾天在過度反應區可能導致股票價格追高(低),此外就我們所知隨機指標位於過度反應區連續二天、三天、四天等議題似乎在現有的文獻未被詳細探討過。是以本研究乃探討當隨機指標位於過度反應區連續不同的天數時介入是否有超額報酬,其研究結果顯示,動能交易策略較適用於隨機指標持續出現於超買區時,可長期持有道瓊30、富時100、上證50這些成分股,反向策略則較適用於隨機指標連續出現超賣區,則比較適合短期介入,其成因持續落於超賣區可以肇因於過度反應現象所致。

總之,我們認為技術分析仍然有值得探討的空間,因為若技術分析在實務上無任何舉足經重的地位,則財經頻道、財經雜誌,網際網絡上不應出現那麼多的與技術分析有關的資訊。
英文摘要 Most of market participants earn profits through the use of the technical analysis for trading stocks. In addition, individual investors often decide the trading timing in accordance with the trading signals emitted by technical indicators. Even though technical analysis are wildly employed in the real world; however, the technical analysis issues investigated seem to be limited in the academic aspects. Therefore, we endeavor to explore more valuable information retrieved from SOI trading rules due to these trading rules closely related with the wisdom proposed by the overreaction hypothesis. In this thesis, we incorporate two essays related to SOI trading rules in order to retrieve more valuable information in term of SOI deliberately.
Essay one employ the SOI trading rules for investigating whether investors are able to make profits for the constituent stocks of three representative indices including the DJ 30, FASE 100, and SSE 50. The results reveal that investors may benefit from the use of the contrarian strategy as oversold trading signals are emitted for constituent stocks of FTSE 100 in the short-run holding period, which is consistent with the overreaction hypothesis. In contrast, we show that the momentum strategy would be more appropriate when trading constituent stocks of SSE 50 as overbought signals emitted, especially for the long-run holding period.
In essay two, although we argue that the SOI staying in overreaction zones for consecutive days likely resulting in chasing stock price higher (lower) often appeared in the real world, this issue, to the best of our knowledge, seems unexplored in the existing literature. Results show that momentum strategies are appropriate for holding these stocks in the long run as the SOI staying in overbought zones, whereas contrarian strategies are more proper for holding these stocks in the short run as the SOI staying in oversold zones. The results may benefit for investors to trade these stocks as the SOI staying in overreaction zones for consecutive days.
In sum, we argue that the issues in term of technical analysis are worthwhile for investigation, since the information in term of technical analysis might not be appeared in the financial channels, magazines and websites if technical analysis does not matter in the real world.
論文目次 Contents
Contents …………………………………………………………………………. I
List of Tables …………………………………………………………………….. III
List of Figures …………………………………………………………………… IV
Chapter 1 Introduction ...……………………………………………………….. 1
Chapter 2 Momentum in the Chinese Stock Market: Evidence from
Stochastic Oscillator Indicators ………………………………….....
5
2.1 Introduction ……………………………………………………………. 5
2.2 Technical Trading Rules ……………………………………………… 9
2.2.1 Introduction of SOI ……………………………………………... 9
2.2.2 Trading Signals Emitted by Stochastic Oscillator Indicators 10
2.3 Empirical Results and Analyses ……………………………………… 13
2.3.1 Short-Run and Long-Run Holding Period Returns as Oversold Signals Emitted by SOI ……………………………….
13
2.3.2 Short-Run and Long-Run Holding Period Returns as the
Overbought Signals Emitted by SOI ……………………………
15
2.4 Further Investigation ………………………………………………...... 17
2.4.1 Short-Run and Long-Run Holding Period Returns as Selling Signals Emitted by MA …………………………………………..
19
2.4.2 Short-Run and Long-Run Holding Period Returns as Buying Signals Emitted by MA …………………………………………..
20
2.5 Conclusion ……………………………………………………………... 22
2.6 References …………………………………………………………........ 23
Chapter 3 Investing Strategies as Stochastic Oscillator Indicators Staying
in Overreaction Zones for Consecutive Days ……………………...
26
3.1 Introduction ……………………………………………………………. 26
3.2 Study Design and Data ………………………………………………... 34
3.2.1 Technical Trading Rules ………………………………………... 34
3.2.2 Design of This Study …………………………………………….. 35
3.3 Empirical Results and Analysis ……………………………………..... 37
3.4 Further Investigation ………………………………………………...... 40
3.4.1 Samples for Stricter and Extreme Overreaction Zone ……...... 41
3.4.2 CARs for Stricter and Extreme Overreaction Zones …………. 42
3.5 Conclusion ……………………………………………………………... 47
3.6 References …………………………………………………………........ 48
Chapter 4 Conclusion …………………………………………………………... 53
References ……………………………………………………………………….. 55


List of Tables
Table 2-1 Overbought and oversold trading signals ………………………… 11
Table 2-2 Summary statistics …………………………………………………. 11
Table 2-3 Numbers of overbought and oversold signals emitted …………… 12
Table 2-4 Short-run and long-run holding period returns for three oversold Cases ……………………………………………………….
13
Table 2-5 Short-run and long-run holding period returns for three overbought Cases ……………………………………………………
16
Table 2-6 Short-run and long-run holding period returns as selling signals
emitted by MA trading ……………………………………………...
20
Table 2-7 Short-run and long-run holding period returns as buying signal
emitted by MA trading ……………………………………………...
21
Table 3-1 Summary statistics …………………………………………………. 36
Table 3-2 Numbers of the SOI staying in overreaction zones for two, three,
and four days ………………………………………………………...
37
Table 3-3 Short-run and long-run CARs as SOI staying in overreaction zones ………………………………………………………………….
38
Table 3-4 Numbers of the SOI staying in stricter and extreme overreaction
zones for consecutive days …………………………………………..
41
Table 3-5 Short-run and long-run CARs as SOI staying in stricter
overreaction zones …………………………………………………...
42
Table 3-6 Short-run and long-run CARs as SOI staying in extreme
overreaction zones …………………………………………………...
44


List of Figures
Figure 2-1 Trends of D30, FTSE100, and SSE50 indices from 2004 to 2013. 12
Figure 3-1 Trends of D30, FTSE100, and SSE50 indices from 2004 to 2013. 36
參考文獻 2.6 References

Bessembinder, H. and K. Chan. 1995. “The Profitability of Technical Trading Rules in the Asian Stock Markets.” Pacific-Basin Finance Journal 3: 257–84.
Bhojraj, S. and B. Swaminathan. 2006. “Macro Momentum: Returns Predictability in International Equity Indices.” Journal of Business 79: 429-451.
Brock, W., J. Lakonishok, and B. LeBaron. 1992. “Simple Technical Trading Rules and the Stochastic Properties of Stock Returns.” Journal of Finance 47: 1731-1764.
Chiang, T.C. and D. Zheng. 2010. “An Empirical Analysis of Herd Behavior in Global Stock Markets.” Journal of Banking and Finance 34: 1911–1921.
Chiang, Y.C., M.C. Ke, T.L. Liao, and C.D. Wang. 2012. “Are Technical Trading Strategies Still Profitable? Evidence from the Taiwan Stock Index Futures Market. ” Applied Financial Economics 22(12): 955-965.
Chopra, N., J. Lakonishok, and J.R. Ritter. 1992. “Measuring Abnormal Performance: Do Stocks Overreact.” Journal of Financial Economics 31: 235–268.
Chou, Tsung-Nan, Ting-Yi Cheng, and Hung-Chih Wang. 2013. “Apply Evidential Reasoning Approach with Emotional Intelligence in TAIEX Futures Trading Strategies” Journal of Financial Review 19:55-71.
Chuang, W.I. and B.S. Lee. 2006. “An Empirical Evaluation of the Overconfidence Hypothesis.” Journal of Banking and Finance 30: 2489-2515.
Clare, A. and Thomas, S. 1995. “The Overreaction Hypothesis and the UK Stock Market.” Journal of Business Finance & Accounting 22: 961–73.
Daniel, K., D. Hirshleifer, and A. Subrahmanyam. 1998. “A Theory of Overconfidence, Self-attribution, and Security Market under- and Overreaction.” Journal of Finance 53: 1839-1886.
De Bondt, W.F.M. and R. Thaler. 1985. “Does the Stock Market Overreact.” Journal of Finance 40: 793–805.
De Bondt, W.F.M. and R. Thaler. 1987. “Further Evidence on Investor Overreaction and Stock Market Seasonality.” Journal of Finance 42: 557–581.
Delong, J.B. A. Shleifer, L.H. Summers, and R.J. Waldmann. 1990. “Positive Feedback Investment Strategies and Destabilizing Rational Speculation.” Journal of Finance 45: 379-395.
Fama, E.F. 1965. “The Behavior of Stock Market Prices.” Journal of Business 38: 34-105.
Fama, E.F. 1970. “Efficient Capital Markets: A Review of Theory and Empirical Work.” Journal of Finance 25: 383-417.
Friesen, G.C., P.A. Weller, and L.M. Dunham. 2009. “Price Trends and Patterns in Technical Analysis: A Theoretical and Empirical Examination.” Journal of Banking and Finance 33: 1089–1100.
George, T. J. and C.-Y. Hwang. 2004. "The 52-Week High and Momentum Investing." Journal of Finance 59: 2145-2176.
Hong, H. and J. C. Stein. 1999. “A Unified Theory of Underreaction, Momentum Trading and Overreaction in Asset Markets.” Journal of Finance 54: 2143-2184.
Lento, C., N. Gradojevic, and C. Wright. 2007. “Investment Information Content in Bollinger Bands?” Applied Financial Economics Letters 3(4): 263-267.
McKenzie, M. D. 2007. Technical Trading Rules in Emerging Markets and the 1997 Asian Currency Crises. Emerging Markets Finance and Trade 43(4): 46-73.
Muga, L. and Santamaria, R. 2007. The Momentum Effect in Latin American Emerging Markets. Emerging Markets Finance and Trade 43(4): 24-45.
Naughton, T., C. Truong, and M. Veeraraghavan. 2008. “Momentum Strategies and Stock Returns: Chinese Evidence.” Pacific-Basin Finance Journal 16(4): 476-492.
Ni, Y., Y. C. Liao, and P. Huang. 2015. “MA Trading Rules, Herding Behaviors, and Stock Market Overreaction.” International Review of Economics and Finance 39: 253–265.
Shen, L. and H.T. Loha. 2004. “Applying Rough Sets to Market Timing Decisions.” Decision Support Systems 37: 583–597
Shen, Q., A.C. Szakmary, and S.C. Sharma. 2005. “Momentum and Contrarian Strategies in International Stock Markets: Further Evidence.” Journal of Multinational Financial Management 15: 235-255.
Shynkevich, A. 2012. “Performance of Technical Analysis in Growth and Small Cap Segments of the US Equity Market.” Journal of Banking and Finance 36: 193–208
Tan, L., T.C. Chiang, J.R. Mason, and E. Nelling. 2008. “Herding Behavior in Chinese Stock Markets: An Examination of A and B Shares.” Pacific-Basin Finance Journal 16: 61–77
Wang, J., B.M. Burton, and D.M. Power. 2004. “Analysis of the Overreaction Effect in the Chinese Stock Market.” Applied Economics Letters 47: 173-144.
Wang, Z.M., C. Chiao, and Y.T. Changm. 2012. “Technical Analyses and Order Submission Behaviors: Evidence from an Emerging Market.” International Review of Economics and Finance 24: 109–128
Zhou, H., Geppert, J., and Kong, D. 2010. “An Anatomy of Trading Strategies: Evidence from China.” Emerging Markets Finance and Trade 46(2): 66-79.

3.6 References
Abarbanell, J. S. and V. L. Bernard. 1992. “Tests of Analysts' Overreaction /Underreaction to Earnings Information as an Explanation for Anomalous Stock Price Behavior.” Journal of Finance 47(3):1181-1207.
Ackert, L. F., B. Church, and A. B. Gillette. 2004. “Immediate Disclosure or Secrecy? the Release of Information in Experimental Asset Markets.” Financial Markets, Institutions and Instruments 13(5):219-243.
Alti, A., and P. C. Tetlock. 2014. “Biased Beliefs, Asset Prices, and Investment: A Structural Approach.” Journal of Finance 69(1):325-361.
Barroso, P. and P. Santa-Clara. 2015. “Momentum Has Its Moments.” Journal of Financial Economics 116(1):111–120
Bessembinder, H. and K. Chan. 1995. “The Profitability of Technical Trading Rules in the Asian Stock Markets.” Pacific-Basin Finance Journal 3:257-84.
Bhojraj, S. and B. Swaminathan. 2006. “Macromomentum: Returns Predictability in International Equity Indices.” Journal of Business 79(1):429-451.
Bigalow, S. W. 2011. Profitable Candlestick Trading: Pinpointing Market Opportunities to Maximize Profits. John Wiley & Sons Publishing.
Brock, W., J. Lakonishok, and B. LeBaron. 1992. “Simple Technical Trading Rules and the Stochastic Properties of Stock Returns.” Journal of Finance 47: 1731-1764.
Brown, N. C., K. D. Wei, and R. Wermers. 2013. “Analyst Recommendations, Mutual Fund Herding, and Overreaction in Stock Prices.” Management Science 60(1): 1-20.
Chan, W. S. 2003. “Stock Price Reaction to News and No-news: Drift and Reversal after Headlines.” Journal of Financial Economics 70(2):223-260.
Chiang, Y. C., M. C. Ke, T. L. Liao, and C. D. Wang. 2012. “Are Technical Trading Strategies Still Profitable? Evidence from the Taiwan Stock Index Futures Market.” Applied Financial Economics 2(12): 955-965.
Chiang, T. C. and D. Zheng. 2010. “An Empirical Analysis of Herd Behavior in Global Stock Markets.” Journal of Banking and Finance 34:1911-1921.
Chopra, N., J. Lakonishok, and J. R. Ritter. 1992. “Measuring Abnormal Performance: Do Stocks Overreact?” Journal of Financial Economics 31:2:235-268.
Chou, Tsung-Nan, Ting-Yi Cheng and Hung-Chih Wang. 2013. “Apply Evidential Reasoning Approach with Emotional Intelligence in TAIEX Futures Trading Strategies” Journal of Financial Review 19:55-71
Chuang, W. I. and B. S. Lee. 2006. “An Empirical Evaluation of the Overconfidence Hypothesis.” Journal of Banking and Finance 30:2489-2515.
Clare, A. and S. Thomas. 1995. “The Overreaction Hypothesis and the UK Stock market.” Journal of Business Finance and Accounting 22(7):961-973.
Coutts, J. A. and K. C. Cheung. 2000. “Trading Rules and Stock Returns: Some Preliminary Short Run Evidence from the Hang Seng 1985-1997.” Applied Financial Economics 10(6):579-586.
Cronqvist, H., S. Siegel, and F. Yu. 2015. “Value versus Growth Investing: Why Do Different Investors have Different Styles?” Journal of Financial Economics 117(2):333-349.
Daniel, K., D. Hirshleifer, and A. Subrahmanyam. 1998. “A Theory of Overconfidence, Self-attribution, and Security Market Under- and Overreaction.” Journal of Finance 53:1839-1886.
DeBondt, W. F. M., and R. Thaler. 1985. “Does the Stock Market Overreact.” Journal of Finance 40:793-808.
DeBondt, W. F. M. and R. Thaler. 1987. “Further Evidence on Investor Overreaction and Stock Market Seasonality.” Journal of Finance 42:557-581.
DeMiguel, V., F. J. Nogales, and R. Uppal. 2014. “Stock Return Serial Dependence and Out-of-sample Portfolio Performance.” Review of Financial Studies 27:4: 1031-1073.
Fama, E. F. 1965. “The Behavior of Stock Market Prices.” Journal of Business 38: 34-105.
Fama, E. F. 1970. “Efficient Capital Markets: A Review of Theory and Empirical Work.” Journal of Finance 25:383-417.
Fama, E. F. 1991. “Efficient Capital Markets: II.” Journal of Finance 46(5): 1575-1617.
Fama, E. F. 1998. “Market Efficiency, Long-term Returns, and Behavioral Finance.” Journal of Financial Economics 49(3):283–306.
Fock, J. H., C. Klein, and B. Zwergel. 2005. “Performance of Candlestick Analysis on Intraday Futures Data.” Journal of Derivatives 13(1):28-40.
George, T. J. and C. Y. Hwang. 2004. “The 52‐week High and Momentum Investing.” Journal of Finance 59:5:2145-2176.
Hong, H., and Stein, J. C. (1999). “A Unified Theory of Underreaction, Momentum Trading and Overreaction in Asset Markets.” Journal of Finance 54:2143-2184.
Jegadeesh, N. 1990. “Evidence of Predictable Behavior of Security Returns.” Journal of Finance 45(3):881-898.
Jegadeesh, N. and S. Titman. 1993. “Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency.” Journal of Finance 48(1):65-91.
Kwon, K. Y. and R. J. Kish. 2002. “Technical Trading Strategies and Return Predictability: NYSE.” Applied Financial Economics 12(9):639-653.
Lehmann, B. 1990. “Fads, Martingales, and Market Efficiency.” Quarterly Journal of Economics 60:1-28.
Lento, C., N. Gradojevic, and C. Wright. 2007. “Investment Information Content in Bollinger Bands?” Applied Financial Economics Letters 3(4):263-267.
Li, J. and J. Yu. 2012. “Investor Attention, Psychological Anchors, and Stock Return Predictability.” Journal of Financial Economics 104(2): 401-419.
Lo, A. W. and A. C. MacKinlay. 1990. “When are Contrarian Profits due to Stock Market Overreaction?” Review of Financial studies 3(2):175-205.
Loh, E. Y. 2007. “An Alternative Test for Weak form Efficiency Based on Technical Analysis.” Applied Financial Economics 17(12):1003-1012.
Long, J. B., A. Shleifer, L. H. Summers, and R. J. Waldmann. 1990. “Positive Feedback Investment Strategies and Destabilizing Rational Speculation.” Journal of Finance 45(2):379-395.
McKnight, P. J. and S. K. Todd. 2006. “Analyst Forecasts and the Cross Section of European Stock Returns.” Financial Markets, Institutions and Instruments 15(5): 201-224.
McKenzie, M. D. 2007. “Technical Trading Rules in Emerging Markets and the 1997 Asian Currency Crises.” Emerging Markets Finance and Trade 43(4):46-73.
Moskowitz, T. J., Y. H. Ooi, and L. H. Pedersen. 2012. “Time Series Momentum.” Journal of Financial Economics 104(2):228-250.
Muga, L. and R. Santamaria. 2007. “The Momentum Effect in Latin American Emerging Markets.” Emerging Markets Finance and Trade 43(4):24-45.
Naughton, T., C. Truong, and M. Veeraraghavan. 2008. “Momentum Strategies and Stock Returns: Chinese Evidence.” Pacific-Basin Finance Journal 16(4):476-492.
Ni, Y., Y. C. Liao, and P. Huang. 2015. “MA Trading Rules, Herding Behaviors, and Stock Market Overreaction.” International Review of Economics and Finance 39: 253–265.
Ni, Y., Y. C. Liao, and P. Huang. 2015. “Momentum in the Chinese Stock Market: Evidence from Stochastic Oscillator Indicators.” Emerging Markets Finance and Trade 51(1):99–110.
Park, S. C. 2010. “The Moving Average Ratio and Momentum.” Financial Review 45(2):415-447.
Rozeff, M. S. and M. A. Zaman. 1998. “Overreaction and Insider Trading: Evidence from Growth and Value Portfolios.” Journal of Finance 53: 701-716.
Savor, P. G. 2012. “Stock Returns after Major Price Shocks: The Impact of Information.” Journal of Financial Economics 106(3): 635-659.
Shen, L. and H. T. Loha. 2004. “Applying Rough Sets to Market Timing Decisions.” Decision Support Systems 37:583-597.
Shen, Q., A. C. Szakmary, and S. C. Sharma. 2005. “Momentum and Contrarian Strategies in international Stock Markets: Further Evidence.” Journal of Multinational Financial Management 15(3):235-255.
Shen, Q., A. C. Szakmary, and S. C. Sharma. 2007. “An Examination of Momentum Strategies in Commodity Futures Markets.” Journal of Futures Markets 27(3): 227-256.
Szakmary, A. C. and M. C. Lancaster. 2015. “Trend-following Trading Strategies in U.S. Stocks: A Revisit.” Financial Review 50:221–255.
Szakmary, A. C., Q. Shen, and S. C. Sharma. 2010. “Trend-following Trading Strategies in Commodity Futures: A Re-examination.” Journal of Banking and Finance 34(2):409-426.
Tan, L., T. C. Chiang, J. R. Mason, and E. Nelling. 2008. “Herding Behavior in Chinese Stock Markets: An Examination of A and B Shares.” Pacific-Basin Finance Journal 16:61-77.
Vega, C. 2006. “Stock Price Reaction to Public and Private Information.” Journal of Financial Economics 82(1):103-133.
Wang, J., B. M. Burton, and D. M. Power. 2004. “Analysis of the Overreaction Effect in the Chinese Stock Market.” Applied Economics Letters 47:173-144.
Wang, Z. M., C. Chiao, and Y. T. Changm. 2012. “Technical Analyses and Order Submission Behaviors: Evidence from an Emerging Market.” International Review of Economics and Finance 24:109-128.
Wu, Y. 2011. “Momentum Trading, Mean Reversal and Overreaction in Chinese Stock Market.” Review of Quantitative Finance and Accounting 37(3):301-323.
Zhou, H., J. Geppert, and D. Kong. 2010. “An Anatomy of Trading Strategies: Evidence from China.” Emerging Markets Finance and Trade 46(2):66-79.

References
DeBondt, W. F. M., and R. Thaler. 1985. “Does the Stock Market Overreact.” Journal of Finance 40:793-808.
Shen, L. and H. T. Loha. 2004. “Applying Rough Sets to market timing decisions.” Decision Support Systems 37:583-597.
Wang, Z. M., C. Chiao, and Y. T. Changm. 2012. “Technical Analyses and Order Submission Behaviors: Evidence from an Emerging Market.” International Review of Economics and Finance 24:109-128.
論文使用權限
  • 同意紙本無償授權給館內讀者為學術之目的重製使用,於2021-01-22公開。
  • 同意授權瀏覽/列印電子全文服務,於2021-01-22起公開。


  • 若您有任何疑問,請與我們聯絡!
    圖書館: 請來電 (02)2621-5656 轉 2486 或 來信