| Summary: | 碩士 === 銘傳大學 === 風險管理與保險學系碩士班 === 105 === In order to understand and predict the changes of various stocks’ price in the financial markets, some financial institutions have compiled the Stock Index. In the stock market, there are many methods that can forecast stock tendency. And on account of short-term stock price fluctuation, technical analysis of indicators is more and more popular among investors. The most common Indicator in technical analysis is trading price, and trading volume is as supplementary. However, the response of trading volume is faster than the response of trading price in the market, so there is no doubt that study of trading volume is very important. In this study, Shenzhen 100 Index is used to as the research object, and we hope to use R studio software to analyze risk value and technical indicators of price (MACD、RSI)and of trading volume(VMACD、VRSI) respectively, so as to construct the most appropriate trading strategies. The period of this study is from 2008 January 1 to 2016 December 31.
From the empirical results, the VAR and RSI index parameters of the medium and long days are better than those of the short days, and the trading volume VAR and VRSI are just the opposite. In addition, MACD index is more neutral than VaR and RSI index, the effect of price MACD and trading volume VMACD index is similar. In the single analysis of the three indicators of stock prices, the effect of VaR will be better than that of RSI and MACD. For the volume index, the RSI index is the best, and the VAR index is the worst. For two indicators, the effect of VAR+RSI would be better than VAR+MACD for price. Trading volume VaR+VMACD has no effective trading times, and the effect of VaR+VRSI is negative return. There are no effective buying and selling points in the analysis of the three indexes of price and volume. After comparing the stock index and the volume index, we find that the price index will be better than the volume index, whether it is a single index or two index combination analysis.
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