運用MACD技術指標結合市場輪廓理論於台灣加權股價指數之行為發現

Abstract

應用於金融市場的分析方式相當多元，其中技術分析為短中期投資者經常使用的分析方式，而MACD是技術分析中最廣為使用的指標之一，已有多項研究的實證結果證明MACD確實有其有效性。 J.Peter Steidlmayer於1984年提出市場輪廓理論，認為市場價格的變動，是市場中各種類型的參與者的交易行為所造成，市場並非隨機漫步，而是具有行為的模式和規則。市場輪廓理論當中，將參與者分為長線與短線，市場行為分為自發行為與反應行為，加上買方與賣方，共有八種市場參與者的行為。 然而，目前於金融領域中，關於市場輪廓理論的相關研究甚少，因此本研究將MACD指標的交叉情況結合市場輪廓理論行為，嘗試發掘MACD的交叉情況與市場輪廓行為的對應情形，並基於統計分析結果建構一有效之投資模型，期望透過兩者的結合，超越純粹使用MACD指標為交易依據的投資模型，輔助投資人達到更好的投資績效。 研究結果顯示，運用市場輪廓理論行為結合MACD技術指標，確實帶來比純使用MACD技術指標更好的績效，有助於投資者掌握市場中的漲跌趨勢。

There are many analytical methods applying to finance markets diversely. Technical analysis is often used by short or medium term investors, and MACD is one of the most popular indicators in technical analysis. There have been a lot of researches proving the effectiveness of MACD in the market. J.Peter Steidlmayer put forward market profile theory. The theory is that changes in market prices are caused by various types of market participants’ trading behavior. Market does not follow random walk, but it fluctuates with the behavior patterns and rules. In market profile theory, participants are divided into long-term and short-term traders, market activities into initiative and responsive activity, trading types into buying and selling. There are at least eight behaviors of market participants. However, lack of researches were conducted on the market profile theory in the financial field. Hence, this research combine the MACD crossover theory and the behavior of market profile. The research is conducted in the purpose of trying to explore the relationships between both theories, and to build an effective model based on the results of the statistical analysis. By combining these two, we expect that the model is more effective than the model merely using the MACD indicator. Results of this research shows that the model combining MACD and market profile has better performance than the model that only use MACD indicator. In conclusion, it can effectively help investors grasp market trends.