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    题名: 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
    作者: 徐仕尚
    Hsu,Shih Shang
    贡献者: 郭維裕
    徐仕尚
    Hsu,Shih Shang
    关键词: 台灣指數期貨
    未平倉量
    濾嘴法則
    Taiwan Index Futures Market
    Filter rules
    momentum
    open interest
    Rollover
    日期: 2003
    上传时间: 2009-09-11 17:09:24 (UTC+8)
    摘要: 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”.
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    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.
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    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.
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    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.
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    Jegadeesh, N., 1990, “Evidence of predictable behavior of security returns”, Journal of Finance, 45, 881-898.
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    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.
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    描述: 碩士
    國立政治大學
    國際經營與貿易研究所
    91351015
    92
    資料來源: http://thesis.lib.nccu.edu.tw/record/#G0913510151
    数据类型: thesis
    显示于类别:[國際經營與貿易學系 ] 學位論文

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