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https://nccur.lib.nccu.edu.tw/handle/140.119/30079
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| 題名: | The Profitability of Technical Trading Strategies in Taiwan Future Market |
| 作者: | 陳映廷
Chen, Ying-Ting |
| 貢獻者: | 郭維裕
Kuo,Weiyu
陳映廷
Chen, Ying-Ting |
| 關鍵詞: | 技術分析
指數期貨
台指期貨
technical trading rules
index futures
TAIEX Futures |
| 日期: | 2004 |
| 上傳時間: | 2009-09-11 17:11:23 (UTC+8) |
| 摘要: | The price of stocks, futures, commodities and currency are for ever changing. Anyone interested in financial prices soon discovers that changes in prices are frequently substantial and are always difficult to forecast. This paper describes the behavior of prices from a statistical perspective. Specifically, employ several technical trading rules to uncover the trend of futures price movement and attempt to make profit out of the trend. In this paper, trading of seven technical trading systems is simulated for three futures contracts from September 1998 to March 2005 to test for market disequilibrium. The results differ by trading systems. Four systems produced positive mean net returns and five systems produced positive gross return when optimal parameters were used. These results indicate that, there exist opportunities to design profitable trading systems for futures markets. |
| 參考文獻: | Corrado, C. J. and Lee, S. H. (1992) Filter Rule Tests of the Economic Significance of Serial Dependencies in Daily Stock Returns. The Journal of Financial Research, Vol. XV, No. 4.
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Odean, Terrece. (1998) Are Investors Reluctant to Realize Their Losses? Journal of Finance 53: 1775-1798 |
| 描述: | 碩士
國立政治大學
國際經營與貿易研究所
92351021
93 |
| 資料來源: | http://thesis.lib.nccu.edu.tw/record/#G0923510211 |
| 資料類型: | thesis |
| 顯示於類別: | [國際經營與貿易學系 ] 學位論文
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