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    政大機構典藏 > 商學院 > 財務管理學系 > 學位論文 >  Item 140.119/83281
    Please use this identifier to cite or link to this item: https://nccur.lib.nccu.edu.tw/handle/140.119/83281


    Title: 應用連串技術分析於投資決策:以NASDAQ指數為例
    Applying run technical analysis in investment: experimen of NASDAQ index
    Authors: 楊喻翔
    Yang, Yu-Hsiang
    Contributors: 姜堯民
    蔡瑞煌

    Chiang, Yao-Ming
    Ray Tsaih

    楊喻翔
    Yang, Yu-Hsiang
    Keywords: 技術分析
    投資決策
    連串
    techinical analysis
    investment
    runs
    Date: 2000
    Issue Date: 2016-03-31 15:32:59 (UTC+8)
    Abstract: 本文主旨是利用連串理論(RUNS)的觀念引入現行的簡單移動平均法則的技術分析中,實證發現在以逐日作投資決策而進行的交易中,引入連串的簡單移動平圴預測來作交易決策的績效可以跟買入後持有的績效相同,而根據不引用連串觀念的簡單移動平均所作旳預測來進行交易的績效則明顯不如買入後持有的績效, 這樣的結果說明了有連串觀念的簡單平均含有某些獲利訊息。另以逐波作投資決策進行的交易中,研究結果顯示以類神經網路預測而進行交易決策的績效比以多元迴歸預測的為佳,但二者皆可獲得正的超額報酬。
    就理論而言,本文延續Gencay and Stengos(1998)所作的簡單移動平均研究,關於簡單移動平均等此類的技術分析探討自Alexander(1964)用濾嘴法則開始研究後,就陸陸續續在財務領域中被探討,例如Brock et al.(1992)發現這些技術分析法則在高報酬及低波動度(returns are high and volatility is low)時可以進行作多獲利(to be in the market or long the index)。本文首先嘗試引用連串移動平均法則來進行預測,文中的3個連串移動平均(the moving average of 3 runs)實是在計量驗證下求得的。以連串移動平均預測而進行交易操作是一種順勢而為的交易方法,其研究實證所獲得超額報酬是正的。
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    Description: 碩士
    國立政治大學
    財務管理研究所
    86357010
    Source URI: http://thesis.lib.nccu.edu.tw/record/#A2002002084
    Data Type: thesis
    Appears in Collections:[財務管理學系] 學位論文

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