本文參照Han, Zhou and Zhu (2016)所建構的趨勢策略，將不同期間框架的平均股價放在一個模型裡，利用Lewellen (2015)預測報酬的方法研究台灣股票市場是否能透過技術分析獲利。本研究有以下三個結論，首先台灣股市似乎沒有動能效應，動能因子t值顯著但係數為負且近乎於零。第二，技術分析策略經過風險因子調整後存在異常報酬。第三，技術分析策略看似優異但加入風險衡量後，失去其優勢。

Following the trend strategy proposed by Han, Zhou and Zhu (2016), this paper first integrates all time-trend variables into a model and then adopt the return-forecasting methodology developed by Lewellen (2015) to study whether we can profit by using a technical analysis in the Taiwan stock market. First, the Taiwan stock market has no momentum effect. Second, the technical analysis strategy has abnormal returns after risk adjustments. Finally, the technical analysis strategy seems to work fine, but after controlling for the systematic risk factors, it loses its advantage.

摘要 i
Abstract iii
第一章 緒論 1
第一節 研究背景與動機 1
第二節 研究架構與本文架構 3
第二章 文獻探討 5
第三章 研究方法 9
第一節 資料來源 9
第二節 變數衡量 9
第三節 研究流程 9
第四章 實證分析 13
第一節 敘述統計 13
第二節 相關性分析 13
第三節 Fama and MacBeth 迴歸分析 13
第四節 模型預測能力分析 14
第五節 投資組合績效分析 16
第五章 結論 19
參考文獻 21

Brock, W., Lakonishok, J., and LeBaron, B. (1992). Simple Technical Trading Rules and the Stochastic Properties of Stock Returns. Journal of Finance, 47, 1731– 1764.
DeBondt, W. F. M., and Thaler, R. (1985). Does the Stock Market Overreact? Journal of Finance, 40, 557– 581.
Fama, E. F., and French, K. R. (1992). The Cross-Section of Expected Stock Returns. Journal of Finance, 47(2), 427-464.
Fama, E. F., and French, K. R. (1993). Common Risk Factors in the Returns on Stocks and Bonds. Journal of Financial Economics, 33, 3–56.
French, K. R. (1980). Stock Returns and the Weekend Effect. Journal of Financial Economics, 8, 55– 69.
Fung, W., and Hsieh D.A. (2001). The Risk in Hedge Fund Strategies: Theory and Evidence from Trend Followers. Review of Financial Studies, 14, 313–341.
Han, Y., Zhou, G., and Zhu, Y. (2016). A Trend Factor: Any Economic Gains from Using Information over Investment Horizons? Journal of Financial Economics, 122, 352–375.
Jegadeesh, N., and Titman, S. (1993). Returns to Buying Winners and Selling Losers Implications for Stock Market Efficiency. Journal of Finance, 48, 65-91.
Lehmann, B. N. (1990). Fads, Martingales, and Market Efficiency. Quarterly Journal of Economics, 105, 1– 28.
Lewellen, J. (2015). The Cross Section of Expected Stock Returns. Critical Finance Review, 4 (1), 1–44.
Lintner, J. (1965). The Valuation of Risk Assets and the Selection of Risky Investments in Stock Portfolios and Capital Budgets. Review of Economics and Statistics, 47, 13– 37.
Lo, A. W., and MacKinlay, A.C. (1990). When are Contrarian Profits Due to Stock Market Overreaction? Review of Financial Studies, 3, 175– 205.
Markowitz, H. (1952). Portfolio Selection. Journal of Finance, 7, 77– 91.
Ritter, J. (1991). The Long-Term Performance of Initial Public Offerings. Journal of Finance, 46, 3-27.
Schwert, G. W. (2003). Anomalies and Market Efficiency. Handbook of the Economics of Finance, 1(15), 939-974.
Sharpe, W. F. (1964). Capital Asset Prices: A Theory of Market Equilibrium under Conditions of Risk. Journal of Finance, 19, 425– 442.
Stevenson, R. A., and Bear, R. M. (1970). Commodity Futures: Trends or Random Walks. Journal of Finance, 25, 65– 81.
Taylor, M. (1992). The Use of Technical Analysis in the Foreign Exchange Market. Journal of International Money and Finance, 11, 304– 314.
Treynor, J., and Ferguson, R. (1985). In Defense of Technical Analysis. Journal of Finance, 40, 757– 773.
阮重德(2019)，「台灣證券市場技術分析指標獲利能力之探討-以MACD指標為例」，明新科技大學管理學系碩士論文。
林彥儒(2016)，「技術分析指標與投資人情緒之相關性探討」，國立臺北大學企業管理學系碩士論文。
柯冠成、蘇湘茹、林信助、朱香蕙(2016)，「技術分析對台灣波動度及規模效果之影響」，管理學報第33卷第2期第281-309頁。
蔡尚儒(2000)，「台灣店頭市場技術分析的實證研究」，國立中正大學財務金融學系碩士論文。
魯秉鈞(2001)，「技術分析於台灣股票市場的運用─移動平均線與均量指標」，東海大學管理碩士學程在職進修專班論文。
謝明潔(2019)，「移動平均線技術分析法則研究應用」，國立高雄科技大學財務管理學系碩士論文。