移動平均線再探—系統性風險之驗證

摘要

全球自由化與國際化後，系統性風險事件更加頻繁也更容易外溢擴散而衝擊到國內股票市場，本文從擇時能力與風險管理的觀點切入，探究簡單的移動平均線指標之獲利原因。研究結果顯示，移動平均線指標在交易上具有停損停利的特性，因而可以大賺小賠，且在進出時點的挑選上也具有顯著的擇時能力，因此投資人可以運用該指標進行投資來降低風險，進而提升投資績效。這種情形在系統性風險事件對股市所造成的負面影響愈大持續時間愈長時愈明顯。

Abstract

Due to global liberalization and internationalization, system risk events happen more frequently and are more likely to spill over, further impacting the domestic stock market. This study starts from the timing ability and risk management perspective and explores the profit reasons of simple moving average indicators. The results show that the moving average indicator has the characteristics of stop-loss and stop-profit in trading, which makes more enormous profits and causes more minor losses. It also has significant timing ability in selecting entry and exit points. Therefore, investors can use this indicator to reduce risks and improve investment performance. This phenomenon becomes more pronounced as the negative impact of systemic risk events on the stock market lasts longer.

Keywords: Moving average, Timing ability, Systematic risk