本研究以企圖心角度如當日企圖心、是否具延續性和與過去相對技術面位置並透過報酬率事件研究法探討異常波動率k線發生是否會影響加權股價指數未來走勢，研究期間為1990年至2006年共計4,662筆日資料。先以兩倍變幅k線法偵測出異常波動率k線，當異常波動率k線時，再以羅吉斯迴歸模型預測未來走勢是上漲或下跌機率，藉以提供投資人進場投資的依據。實證結果發現不管是紅k線或是黑k線在預測短期趨勢皆較預測長期趨勢還要來得佳。 This study explores the market attemption in three dimensions: 1. the difference between the open and closing price; 2. continuity; 3.relative technological position. We also study the effect of abnormal volatility on the weighting stock price index using the return-event study. The samples include 4,662 daily data from 1990 to 2006. We first use double-range k line to test the abnormal volatility, and if there exists an abnormal volatility, we subsequently predict the trend using the method of logistic regression which was found to be a good tool for investment timing. The result shows that red k line and black k line are better indicators in predicting the short-run trend than the long-run.
