台灣觀光類股投資策略

The Stock Investment Strategy of Tourism in Taiwan

20世紀上半葉技術分析是金融操作的顯學，然而在日益式微的今天，政府為擴大經貿國際化，自2007 年起放寬陸客來台管道，也牽動台灣醫美市場，此舉是否有助於台灣醫美證券市場效率的提升?本文即納入更多資訊採實驗設計證實技術分析的操作是可以獲利。
本研究實證結果發現: 第一階段(2006.9.1-2011.12.8) 中天在最佳化之模擬下獲利是16.35元，然而一旦將此最佳化之模擬參數延續代用至第二階段(2006.9.1-2013.12.8) 獲利增加至19.75元。同樣的，東洋在第一階段在最佳化之模擬下獲利是20.8元，第二階段獲利增加至22.3元。惟佳醫和杏輝在最佳化之模擬下獲利分別是19.4元和5.85元，然而一旦將此最佳化之模擬參數延續代用至第二階段則獲利並未增加。說明若慎選廠商，此一參數背後所代表的操作策略仍是有利可圖的。實證結果顯示：技術分析仍然可以在市場獲利，也證明我國部分證券市場在2006年至2013年，仍不符合弱勢效率市場的條件。

Technical analysis of financial operation, which prospers through the first half of the 20th century, seems out of date today. In order to increase the scale of FOI, Taiwan relaxes the regulation on mainland China tourists in 2007. Cosmetic medicine market of Taiwan is expanding gradually. Whether the market efficiency is improving or not is the aim of this study. We adopt an experimental design to exam these models which contains more information and find supporting evidence for the technical analysis.
Adopting Program Trading, this study tries to investigate whether or not Taiwan’s QDII with the information of securities lending to QFII can improve their performance in Taiwan’s futures market during 2004-2011. The empirical evidence shows that following the past model which is with the informed information of securities lending to QFII is critical to QDII’s operation to make profit. It indicates that Taiwan futures market does not fulfill the conditions of strong-form efficient market during the financial crisis.