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研究生:黃文宏
研究生(外文):Wen-Horng Huang
論文名稱:技術分析在台灣股票市場之實證研究
論文名稱(外文):An Empirical Study of Technical Analysis in Taiwan Stock Market
指導教授:黃金生黃金生引用關係
指導教授(外文):Chin-Sheng Huang
學位類別:碩士
校院名稱:國立雲林科技大學
系所名稱:財務金融系碩士班
學門:商業及管理學門
學類:財務金融學類
論文種類:學術論文
論文出版年:2004
畢業學年度:92
語文別:中文
論文頁數:54
中文關鍵詞:技術分析交易法則馬可夫時間
外文關鍵詞:Markov TimeTrading RulesTechnical Analysis
相關次數:
  • 被引用被引用:53
  • 點閱點閱:894
  • 評分評分:
  • 下載下載:296
  • 收藏至我的研究室書目清單書目收藏:0
摘要


本研究利用Neftci(1991)完整定義馬可夫時間的準則下,使用Brock et al.(1992)的移動平均法則,以驗證台灣股票市場加權指數之每日交易資料,是否具備有非線性。
本研究以台灣股票市場加權指數之每日交易資料為基礎,建構以不同之短期移動平均日及長期移動平均日之交易法則,共有10種技術交易法則。將台灣股票依多頭市場、空頭市場、盤整市場及全期間等性質分為四個時期。分別為民國73~78年、79~82年、80~85年及60~93年3月。進行實證,求出買賣信號點,來進行比較在不同之情境下,是否各具有不同之檢定顯著性。
本研究發現,不管市場如何變化,或是處於何種狀態之市場;(1,150,0) (1,150,1)、(1,200,0)、(2,200,0)及(5,150,0)之交易法則,皆具有非線性之預測能力。 從實證資料顯示,台灣股票市場中股票具有非線性。因此,市場上所使用的技術分析有可能擊敗最佳線性預測模型如Wiener-Kolmogorov的線性預測。
Abstract


This study uses the well-defined Markov Time Rules by Neftci (1991) together with the Moving Average rules by Brock et al. (1992) to test if nonlinearity exists in the daily trading data of Taiwan Stock Exchange Index (TSE Index.) Based on the daily trading data of TSE Index, this study builds trading rules from various short term and long term daily moving averages, for a total of 10 technical trading rules. There are four periods in Taiwan''s stock market: bull market (1984-1989,) bear market (1990-1993,) cyclical market (1991-1996,) and total interval (1971-March 2004.) This study is to find the significant buying and selling points based on a certain technical trading rule applied within a certain period. This research also discovers that regardless of the market change or the state in any of the four periods, the following technical trading rules all show the ability to predict the market nonlinearity: (1,150,0), (1,150,1), (1,200,0), (2,200,0), and (5,150,0) .This study shows that the TSE index contain nonlinearity. As a result, the technical analyses used in the market could defeat the best linear prediction model such as Wiener-Kolmogorvo''s.
參考文獻

中文部分

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4.黃彥聖,1995,移動平均法投資績效,管理評論,14卷第1期,47-68。
5.邱昭彰、李安邦,民國八十七年十二月,「遺傳演算法在發展股市投資專家知識規則之研究」,資管評論,第八期。
6.陳建光,民國九十年六月,技術分析、基因演算法、資料窺視與非同步交易:台灣股市的實證研究,國立雲林科技大學企業管理研究所未出版碩士論文。
7.陳照憲,民國八十八年六月,基因演算法技術交易法則獲利績效-台灣股票市場實證研究,國立雲林科技大學企業管理研究所未出版碩士論文。
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