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    Title: 探索市場波動度在技術分析中所提供的訊息
    Other Titles: Exploring the Informational Content of Market Volatility in Technical Analysis
    Authors: 林信助;郭炳伸
    Contributors: 國立政治大學國際貿易學系
    行政院金融監督管理委員會保險局
    Keywords: 變動型移動平均;技術分析;資料窺探偏誤;卓越預測能力檢定法
    Date: 2011
    Issue Date: 2012-06-22 09:49:21 (UTC+8)
    Abstract: 在這個研究計畫中,我們提議使用Chande (1992) 所提出的變動型移動平均(VMA)法則來探討:市場波動度在技術分析法則中所傳達的訊息內容。在利用Hansen (2005) 所提出的卓越預測能力檢定法來排除可能的資料窺探偏誤之前提下,我們針對「為何市場波動度有助於技術分析法則獲利能力的提高?」這個問題加以深入的探討。透過技術分析法則發出正確交易訊號比率之比較;VMA市場擇時能力的比較;以及針對子樣本所做的子期間情境分析,我們將嘗試探討市場波動之所以有助於提高技術分析法則獲利能力的方式與原因。這個計畫的研究成果將可以補充相關文獻不足之處,進而令學界對於市場波動度在技術分析法則中所扮演的角色有更深一層的認識。
    In this project, we propose to explore the informational content of market volatility via Chande's (1992) variable moving average (VMA) rule. Specifically, we would like to make a thorough study of whether the market volatility is valuable in enhancing the profitability of the technical analysis, after taking account of well-known data-snooping bias with the Superior Predictive Ability (SPA) test proposed by Hansen (2005). Furthermore, by examining the percentage of correct signals issued, the market timing ability of the VMA rule, and sub-periods scenario analyses, we would like to investigate why and how market volatility help in increasing the profitability of the technical analysis. It will complement the existing literature by advancing our understanding of the role played by the market volatility in technical analysis.
    Relation: 基礎研究
    學術補助
    研究期間:10008~ 10107
    研究經費:436仟元
    Data Type: report
    Appears in Collections:[國際經營與貿易學系 ] 國科會研究計畫

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