English  |  正體中文  |  简体中文  |  Post-Print筆數 : 27 |  Items with full text/Total items : 110944/141864 (78%)
Visitors : 47902826      Online Users : 1194
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: https://nccur.lib.nccu.edu.tw/handle/140.119/95064


    Title: 技術交易法則是否能夠在台灣股票市 場獲利?
    Is technical rule useful in Taiwan stock market?
    Authors: 鄭永欣
    Cheng, Yung-Hsin
    Contributors: 山本竜市
    Yamamoto, Ryuichi
    鄭永欣
    Cheng, Yung-Hsin
    Keywords: 技術分析
    Technical Rules
    Date: 2009
    Issue Date: 2016-05-09 14:53:20 (UTC+8)
    Abstract: 本文強烈地支持技術分析在台灣股票市場的有效性。本研究使用簡單技術分析法則-移動平均線法和區間突破法則,此兩法則在Brock el al(1992) 的文獻中被證明在道瓊工業指數具有獲利性。本文引用此兩法則於1981-2008的台灣股票加權指數。根據實證結果顯示,由此兩法則所產生的報酬率和利用拔靴法模擬出來的序列資料產生的報酬率結果並不一致。除此之外,即使考慮了交易成本,這些簡單技術交易法則仍然能在不同的類股指數中獲利。
    The results in this paper strongly support the practicability of technical rules in Taiwan. Two of simplest rules-moving average and trading range break which were proved to be useful in Brock el al(1992) also possess predictive power in Taiwan stock index from 1981 to 2008. The return generated from these technical rules are not consistent with four null model, random walk, AR(1), the AR-GARCH and AR-GARCH-M. Besides, the returns from these technical rules can remain positive after cutting transaction costs. These technical rules can also apply to sector index and still gain excess returns.
    Reference: 1. Alexander, S.S.,1961, price movements in speculative markets: Trends or random
    walks
    2. Bessembinder, H. and K. Chan., 1995, “The Profitability of Technical Trading
    Rules in the Asian Stock Market.” , Pacific-Basin Finance Journal 3, 257-284.
    3. Bessembinder, H. and K. Chan., 1998, “Market Efficiency and the Returns to
    Technical Analysis” Financial Management, 27,5-17.
    4. Brock, William, Josef Lakonishock, and Blake LeBaron, 1992, Simple Technical trading rules and the stochastic properties of stock returns, Journal of Finance 47,
    1731-1764
    5. Brown, S. J., William A. , Goetzmann, Alok, K., 1998, “The Dow Theory: William Peter Hamilton’s Track Reconsidered,” The Journal of Finance, August, pg.
    1311-1333
    6. Cootner, P. H. , 1964, “Stock Market Price: Random vs. System change,”
    Industrial Mamagement Review, Vol.3 , pg. 24-45, Spring.
    7. Cowles, A. , 1993, “Can Stock Market Forecasters Forecast? ”, Econometrica,
    July, pg. 579-586, October.
    8. Fama, E. F. , French, K., 1992, “Technical analysis of stock trends ”, 86.
    9. Fama, E. F. ,Blume, M. E. , 1966, “Filter Rules and Stock Market Trading
    Profits, ” Journal of Business, pg. 226-241
    10. Fama, E. F. , 1970, “Efficient Capital Markets: A Review of Theory and Empirical
    Work”, Journal of Finance 25, pg. 383-417, May
    11. Jesen, M. C. , Benington, G. A. , 1970, “Random Walks and Technical Theories:
    Some Additional Evidence ” , Journal of Finance, XXIII, May, pg.77-85.
    12. Ratner, M. and R. P. C. Leal (1999). "Tests of technical trading strategies in the
    emerging equity markets of Latin America and Asia." Journal of Banking and Finance 23(12).pg. 1887-1905
    13. Sweeny, R J. , 1988, “Some New Filter Rule Test: methods and Results,” Journal
    of Financial and Quantitative Analysis, pg.285-300
    14. Sullivan, R., A. Timmermann and H. White, 1999. “Data-Snooping, Technical Trading Rule Performance, and the Bootstrap,” The Journal of
    Finance, October, pg. 1647-1691
    15. Pruitt, S.W. , Richard E. W., 1988, “The CRISMA trading system: Who says technical analysis can’t beat the market?”, Journal of Portfolio Management,
    pg.55-58
    16. 方國榮,1991,「證券投資最適決策指標之研究─技術面分析」台灣大學商學
    研究所未出版論文
    17. 賴宏祺,1996,「技術分析有效性之研究」,中興大學企業管理學研究所未出
    版論文
    18. 洪志豪,1999,「技術指標KD、MACD、RSI與WMS%R之操作績效實證」台灣大
    學國際企業管理研究所未出版論文
    Description: 碩士
    國立政治大學
    國際經營與貿易學系
    96351030
    Source URI: http://thesis.lib.nccu.edu.tw/record/#G0096351030
    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.html0KbHTML2283View/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 Copyright Announcement
    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。
    The digital content of this website is part of National Chengchi University Institutional Repository. It provides free access to academic research and public education for non-commercial use. Please utilize it in a proper and reasonable manner and respect the rights of copyright owners. For commercial use, please obtain authorization from the copyright owner in advance.

    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。
    NCCU Institutional Repository is made to protect the interests of copyright owners. If you believe that any material on the website infringes copyright, please contact our staff(nccur@nccu.edu.tw). We will remove the work from the repository and investigate your claim.
    DSpace Software Copyright © 2002-2004  MIT &  Hewlett-Packard  /   Enhanced by   NTU Library IR team Copyright ©   - Feedback