English  |  正體中文  |  简体中文  |  Post-Print筆數 : 11 |  Items with full text/Total items : 89327/119107 (75%)
Visitors : 23820790      Online Users : 118
RC Version 6.0 © Powered By DSPACE, MIT. Enhanced by NTU Library IR team.
Scope Tips:
  • please add "double quotation mark" for query phrases to get precise results
  • please goto advance search for comprehansive author search
  • Adv. Search
    HomeLoginUploadHelpAboutAdminister Goto mobile version
    Please use this identifier to cite or link to this item: http://nccur.lib.nccu.edu.tw/handle/140.119/30064


    Title: Market Efficiency of Taiwan Index Futures Market
    台灣指數期貨市場效率性-濾嘴法則之研究
    Authors: 徐仕尚
    Hsu,Shih Shang
    Contributors: 郭維裕
    徐仕尚
    Hsu,Shih Shang
    Keywords: 台灣指數期貨
    未平倉量
    濾嘴法則
    Taiwan Index Futures Market
    Filter rules
    momentum
    open interest
    Rollover
    Date: 2003
    Issue Date: 2009-09-11 17:09:24 (UTC+8)
    Abstract: 本文採用1998年九月2日到2003九月30日的台灣指數期貨每日收盤價,總共1304筆資料。我們希望能藉由濾嘴法則以收盤價及交易量和未平倉量來衡量台灣指數期貨的效率性。而實證結果也證實可以藉由濾嘴法則濾除掉市場上的小波動,並進而預測出主要的價格趨勢。
    This thesis adopts futures data, which are the daily closing prices of the Taiwan Stock Exchange Capitalization Weighted Stock Index futures contracts. The sample period is from September 2, 1998 to September 30, 2003, a total of 1304 transaction days. The goal we want to achieve is to test and verify the momentum by filter rules based on price and volume in the futures market in Taiwan. In addition, the open interest is substituted for the trading volume to exam its effect on the futures price. The empirical results show that we can predict the price trend as long as we employ an appropriate range value to filter out “the noise”.
    Reference: Alexander, S., 1961, “Price Movements in Speculative Markets: Trends or Random Walks.” Industrial Management Review, 2, 7-26.
    Berkowitz, A., D. Logue, and E. Noser, 1988, “The Total Costs of Transactions on the NYSE.” Journal of Finance, 43, 97-112.
    Chan, L.,C., Jagadeesh , and J. Lakonishok, 1996,“Momentum strategies,” Journal of Finance, 51, 1681-1713.
    Cooper, M., 1999, “Filter rules based on price and volume in individual security overreaction”, Review of Financial Studies, 12, 901-935.
    DeBondt, M. Werner, and H. Thaler, 1987, “Further evidence on investor overreaction and stock market seasonality”, Journal of Finance, 42, 557-581.
    DeBondt, M. Werner, and H. Thaler, 1985, “Does the stock market overreact?”, Journal of Finance, 40, 793-805.
    Delong, B., A. Shleifer, L. Summers and R. Waldmann, 1990, “Positive Feedback Investment Strategies and destabilizing Rational Speculation”, Journal of Finance, 45, 379-395.
    Fabozzi, F., C. Ma, W. Chittenden, and R. Pace, 1995, “Predicting intraday price reversals”, Journal of Portfolio Management, 21, 42-53.
    Fama, F., 1991, “Efficient capital markets”, 11, Journal of Finance, 46, 1575-1617.
    Fama, F., and M. Blume, 1966, “Filter Rules and Stock-Market Trading”, Journal of Business, 39,226-241
    Fama, F., 1970, “Efficient Capital Markets: A Review of Theory and Empirical Work”, Journal of Finance, 25, 383-417.
    Fama, F., and K. French, 1993, “Common risk factors in the returns on stocks and bonds”, Journal of Financial Economics 33, 3-56.
    Givoly, D., and J. Lakonishok, 1979, “The information content of financial analysts’ forecasts of earnings: Some evidence on semi-strong inefficiency”, Journal of Accounting and Economics,1,165-185.
    Grundy, K. and B. Malkiel, 1996, “Reports of beta’s death have been greatly exaggerated,” The Journal of Portfolio Management, 36-44.
    Jegadeesh, N., 1990, “Evidence of predictable behavior of security returns”, Journal of Finance, 45, 881-898.
    Jegadeesh, N., and S. Titman, 1993, “Returns to buying winners and selling losers: Implications for stock market efficiency” Journal of Finance, 48, 65–91.
    Jegadeesh, N. and S. Titman, 1995,"Short-Horizon Return Reversals and the Bid-Ask Spread", Journal of Financial Intermediation, 4 ,116-133.
    Jansen C., 1978, "Symposium on Some anomalous Evidence Regarding Market
    Efficiency", Journal of Financial Economics, 6, 93-330.
    Jensen, M. and G. Bennington, 1970, ''Random Walks and Technical Theories: Some Additional Evidence”, Journal of Finance, 25, 469-482.
    Lakonishok, J., A. Shleifer, and R. Vishny, 1994, “Contrarian investment,extrapolation, and risk”, Journal of Finance, 49, 1541-1578.
    Phillips, M., and C. Smith, l980, ‘‘Trading Costs for Listed Options: The Implications for Market Efficiency”, Journal of Financial Economics, 8,179-201.
    Praetz, D., 1976, “Rates of Return on Filter Tests.” Journal of Finance, 31, 71-75.
    PRAETZ, D., 1979, “A General Test of a Filter Effect”, Journal of Financial and Quantitative Analysis, 14, 385-397.
    Roll, R., “On Computing Means and the Small Firm Effect”, Journal of Financia1 Economics, 12, 371-386.
    Sweeney, J., 1986, “Beating the Foreign Exchange Market”, Journal of Finance, 41, 163-182.
    Sweeney, J., 1988, “Some New Filter Tests: Methods and Results”, Journal of Financial and Quantitative Analysis, 23, 285-300.
    Description: 碩士
    國立政治大學
    國際經營與貿易研究所
    91351015
    92
    Source URI: http://thesis.lib.nccu.edu.tw/record/#G0913510151
    Data Type: thesis
    Appears in Collections:[國際經營與貿易學系 ] 學位論文

    Files in This Item:

    File SizeFormat
    index.html0KbHTML265View/Open


    All items in 政大典藏 are protected by copyright, with all rights reserved.


    社群 sharing

    著作權政策宣告
    1.本網站之數位內容為國立政治大學所收錄之機構典藏,無償提供學術研究與公眾教育等公益性使用,惟仍請適度,合理使用本網站之內容,以尊重著作權人之權益。商業上之利用,則請先取得著作權人之授權。
    2.本網站之製作,已盡力防止侵害著作權人之權益,如仍發現本網站之數位內容有侵害著作權人權益情事者,請權利人通知本網站維護人員(nccur@nccu.edu.tw),維護人員將立即採取移除該數位著作等補救措施。
    DSpace Software Copyright © 2002-2004  MIT &  Hewlett-Packard  /   Enhanced by   NTU Library IR team Copyright ©   - Feedback