臺灣博碩士論文加值系統

技術分析是最普遍被用應用於證?市場分析的工具，其預測能力也一直是一個具爭議性的問題，因此我們採用(Sullivan, Timmermann, White(1999))所發展出來的7846個法則對台灣的股票及期貨市場市場作一個綜合性的檢定，看看技術分析在台灣是否真的具有顯著的預測能力。同時，我們也考慮了資料窺視的問題，所謂的資料窺視問題就是，當同一筆資料被重複的使用於不同的模型選擇時，就可能發生巧合的機會導致特定的模型具有顯著的預測能力，這對實證研究的人來說，更是應該要避免的，所以我們也採用了White’s Reality Check去檢定資料窺視問題的影響。
我們主要的結論有：1.用一般的T檢定下，我們所找出的最佳績效法則具有顯著性優越報酬，2.在我們考慮了資料窺視的問題之後，最佳的績效法則就不在具有顯著的獲利能力。

The Technical Analysis is a common tool applied to security market, but his forecasting ability has been a arguing problem. We want to present a comprehensive test of trading rules, so we apply 7846 tading rules (Sullivan, Timmermann, White (1999)) to test Taiwan stock market and future market to see if the technical analysis is suitable for Taiwan market . Meanwhile, we consider the effect of data snooping. Data snooping occurs when a given set of data is used for more than once for purpose of inference or model. When such data reuse occurs, there is always the possibility that any satisfactory results obtained may simply be due to chance rather than to any merit inherent in the method yielding the results. The empirical researchers should avoid this problem. Hence, we employ White Reality Check to test data-snooping effect.
The main results as follows: 1.The best trading rules are really superior rule for Taiwan and future market under the simple T Test. 2.After considering data-snooping effect, we find the best trading rule is still not significant under white reality check.

中文摘要 ………………………………………………………………………………i
英文摘要 ………………………………………………………………………………ii
目錄 ……………………………………………………………………………………iii
表目錄 …………………………………………………………………………………v
圖目錄 …………………………………………………………………………………vi
第一章 緒論
第一節 研究動機……………………………………………………………………1
第二節 研究目的……………………………………………………………………3
第三節 研究流程及架構……………………………………………………………5
第二章 文獻探討
第一節 技術分析的相關研究………………………………………………………7
第二節 資料窺視的相關研究………………………………………………………10
第三章 研究方法
第一節 技術分析介紹..……………………………………………………………12
第二節 White’s Reality Check的操作步驟……………………………………15
第四章 實證結果與分析
第一節 資料來源……………………………………………………………………19
第二節 基本統計量…………………………………………………………………20
第三節 技術分析的驗證……………………………………………………………26
第四節 White’s Reality Check的驗證…………………………………………30
第五章 結論與建議
第一節 結論…………………………………………………………………………38
第二節 後續研究……………………………………………………………………39
附錄 STW法則參數之設定………………………………………………………………40
參考文獻…………………………………………………………………………………43

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