臺灣博碩士論文加值系統

本篇研究主要檢驗技術分析在貴金屬市場中的可行性及預測性。我們使用White(2000)和Hansen(2005)的拔靴檢定法確認是否存在最適交易法則，其驗證的交易法則集合是由Sullivan et al.(1999)所擴展BLL(1992)而形成的7846種交易法則。本文同時使用拔靴檢定法以避免資料窺視效應，及調整非同步交易偏誤與交易成本以確認技術分析之獲利性。研究結果指出忽略上述兩種校正唯有鈀金市場能通過拔靴檢定而獲得超額報酬。但是，經過分別校正非同步交易與交易成本後，貴金屬市場皆無法存在真正擊敗市場之超級技術法則，說明貴金屬市場符合弱式效率市場假說。

This study tests the efficacy of technical analysis in the precious metal markets.We use White’s (2000) reality check and Hansen’s (2005) test of superior prediction ability to ascertain the existence of profitable trading rules among the universe of 7846 trading rules by Sullivan et al. (1999). Meanwhile, this study also accomodtes the non-synchronous trading bias and transaction costs to determine the profitability of technical analysis. The empirical results indicate that only the palladium market can pass the bootstrap tests of both White and Hansen when ignoring the non-synchronous trading bias and transaction costs. However, after adjusting either non-synchronous trading bias or and transaction costs, no superior rules exists among all precious markets. The empirical evidence suggests that the precious metal markets support for the weak-form efficient market hypothesis.

摘要 I
ABSTRACT II
致謝 III
目錄 IV
表目錄 V
圖目錄 VI
第一章 緒論 1
第一節 研究背景與動機 1
第二節 研究目的 3
第三節 研究架構 4
第二章 相關金屬介紹與文獻探討 6
第一節 金屬介紹 6
第二節 文獻探討 32
第三章 變數定義與研究方法 40
第一節 變數定義與資料來源 40
第二節 研究方法 42
第四章 實證結果與分析 48
第一節 金屬市場的最適交易法則 49
第二節 資料窺視隊交易法則之影響 55
第三節 非同步交易在技術分析上之影響 58
第四節 交易成本在技術分析上之影響 63
第五節 近年金屬市場之轉變與比較 65
第五章 結論和建議 73
第一節 結論 73
第二節 研究限制與未來建議 75
參考文獻 76

中文部份

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4. 楊瑩瑛，2006，黃金價格：全球要求報酬理論實證研究，雲林科技大學財務金融碩士班碩士論文。
5. 楊馥榮，2004，交割選擇權對期貨市場效率性分析：以CBOT玉米期貨為例，國立東華大學企業管理研究所碩士論文。
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