投資人過度反應、反應不足與交易訊號之研究

Overreaction、Underreaction and Trade Information

葉智丞(Chih-Cheng Yeh)

過度反應 ； 反應不足 ； 黃金交叉 ； 死亡交叉 ； Overreaction ； Underreaction ； Golden cross ； Dead cross

嶺東通識教育研究學刊

7卷1期（2017 / 02 / 01）

1 - 17

繁體中文

過去投資人在遵循技術分析中，移動平均線黃金交叉進場死亡交叉出場的買賣訊號，有時準確有時失真，導致該訊號的使用莫衷一是。本文嘗試結合投資人的過度反應與反應不足，重新釐清黃金交叉 與死亡交叉的真假訊號，來解釋移動平均線交叉的背後意涵。研究結果發現：當觀察移動平均線黃金（死亡）交叉的假訊號越多，即市場投資人過度反應次數越多，在蛇咬效應下，之後的死亡（黃金）交叉，將因為投資人的反應不足而容易產生死亡（黃金）交叉為真的訊號，並且帶來急跌（急漲）的行情，提供超額報酬的機會。本文的實證意涵顯示，技術分析若能反映投資人的心理偏誤狀態，可以提升技術分析的有效性，克服市場效率。

In the past, investors follow the technical analysis, the moving average of gold cross and death cross trading signal appearances, sometimes accurate and sometimes distorted, leading to the use of the signal is inconsistent. This paper attempts to combine the overreaction and underreaction of investors, to clarify the gold cross and death cross the true and false signals, to explain the moving average line behind the implication. The results show that when observed moving average gold (death) cross false signals, the more the number of market investors over-reaction in the snake bite effect, the death (gold) cross, because the investor response Lack of easy to produce death (gold) cross for the true signal, and bring plunge (surging) of the stock market, providing opportunities for overpayment. The empirical evidence in this paper shows that technical analysis can improve the effectiveness of technical analysis if it reflects the psychological bias of investors.

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