(3.210.184.142) 您好!臺灣時間:2021/05/12 04:35
字體大小: 字級放大   字級縮小   預設字形  
回查詢結果

詳目顯示:::

我願授權國圖
: 
twitterline
研究生:賴宏維
研究生(外文):Hung-Wei Lai
論文名稱:技術分析之資料窺視效應-台灣股市之實證研究
論文名稱(外文):The Effect of Data Snooping To Technical Analysis:An Empirical Study of The Taiwan Stock Market
指導教授:黃金生黃金生引用關係黃金生黃金生引用關係
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:2005
畢業學年度:93
語文別:中文
論文頁數:57
中文關鍵詞:技術分析技術分析資料窺視
外文關鍵詞:Technical AnalysisWhite ''s Reality CheckData-SnoopingTechnical AnalysisWhite ''s Reality CheckData-Snooping
相關次數:
  • 被引用被引用:4
  • 點閱點閱:337
  • 評分評分:系統版面圖檔系統版面圖檔系統版面圖檔系統版面圖檔系統版面圖檔
  • 下載下載:0
  • 收藏至我的研究室書目清單書目收藏:0
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
1.方國榮,民國八十年,證?投資最是決策指標之研究-技術面分析,國立台灣大學商學研究所碩士論文。
2.林維倫,民國九十一年六月,技術分析、基因演算法、資料窺視—亞洲股市之實證研究,國立雲林科技大學企業管理研究所未出版碩士論文。
3.杜金龍,民國八十七年,技術指標在台灣股市應用的訣竅,金錢文化,台北。
4.陳建全,民國八十六年,台灣股市技術分析之實證研究,國立台灣大學商學碩士論文。
5.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。
6.廖清達,民國八十六年,綜合性技術指標的有效性驗證-兼論台灣股市的若效率性假說,國立東華大學國際經濟學系碩士論文。
7.墨基爾(Burton G. Malkial),民國八十五年,楊美齡譯,漫步華爾街:股市的終生理財之道,天下文化,台北。
8.鍾仁甫,民國九十年,技術分析簡單法則於台灣電子之應用,私立東海大學國企業管理學系碩士論文。
9.Bessembinder, Hendrik and Chan. Kalok, 1995, The profitability of technical trading rules in the Asian stock markets, Pacific-Basin Financial Journal 3, 257-284.
10.Bessembinder, Hendrik and Chan. Kalok, 1998, Market efficiency and the returns to technical analysis, Financial Management 27, 5-17.
11.Blume, L., D. Easley and M. O’Hara, 1994, Market statistics and technical analysis: the role of volume, Journal of Finance 49, 153-181.
12.Brock, William, Josef. Lakonishok, and Blake Lebaron, 1992, Simple technical trading rules and the stochastic properties of stock returns, Journal of Finance 47, 1731-1764.
13.Chatfield, C. Model Uncertainty, 1995, Data mining and statistical inference, Journal of the Royal Statistical Society, Series A 158, 419-466.
14.Cowles, Alfred, 1993, Can stock market forecasters forecast, Econometrica 1, 309-324.
15.Diebold, Francis X. and Roberto S. Mariano, 1995, Comparing predictive accuracy, Journal of Business and Economic Statistics 13, 253-265.
16.Efron, B., 1979, Bootstrap method: another look at the jackknife, The Annals of Statistics, 1-26.
17.Fama, Eugene and Marshall Blume, 1966, Filter rules and stock-market trading, Journal of Business 39, 226-241.
18.Fama, E.F., and M.E. Blume 1970, Efficient Capital Market: A Review of Theory and Empirical Work, Journal of Finance 25,383-417
19.Granville, Joseph, 1963, Granville’s New Key to Stock Market Barometer (Harper and Brothers Publishers, New York).
20.Hand, D., 1998, Data mining: statistics and more?, The American Statistician 52, 112-118.
21.Hoover, K. D. and S. J. Perez, 1998, Data mining reconsidered: encompassing and the general-to-specific approach to specification search, UC Davis Department of Economics Discussion Paper.
22.Jensen, M. C., and G. Bennington, 1970,Random Walks and Technical Theories: Some Additional Evidence, Journal of Finance 25,469-482
23.Levy, R.A., 1967, Relative Strength as a Criterion for Investment Selection, Journal of Finance, Vol.12, pp. 595-610.
24.Lo, Andrew W., Harry. Mamaysky, and Wang. Jiang , 2000, Foundations of technical analysis: computational algorithms, statistical inference, and empirical implementation, Journal of Finance 4, 1705-1770.
25.Lo, Andrew W., 1992, A Non-Random Walk Down Wall Street (Princeton, NJ: Princeton University Press).
26.Malkial, Burton G., 1995, A Random Walk Down Wall Street : Including a Life-Cycle Guide to Personal Investing (6th Ed, W.W. Norton & Company).
27.Mayer, T., 1980, Economics as a hard science: Realistic Goal or Wishful Thinking, Economic Inquiry 18, 165-178.
28.Merton, Robert, 1987, On the current state of the stock market rationality hypothesis, in R. Dornbusch, S. Fischer, and J. Bossons, eds.: Macroeconomics and Finance: Essays in Honor of Franco Modigliani (M.I.T. Press, Cambridge, Mass.).
29.Miller, Jr., R. G., 1981, Simultaneous Statistical Inference (New York: Springer-Verlag).
30.Neely, Christopher J. and Paul A. Weller, 1999, Technical trading rules in the European monetary system, Journal of International Money and Finance 18, 429-458.
31.Politis, D. N. and J. P. Romano, 1994a, The stationary bootstrap, Journal of American Statistical Association 89, 1303-1313.
32.Politis, D. N. and J. P. Romano, 1994b, Large sample confidence regions based on subsamples under minimal assumptions, Annals of Statistics 22, 2031-2050.
33.Pruitt, Stephen W. and Richard E. White, 1998, The CRISMA trading system: Who says technical analysis can’t beat the market? Journal of Portfolio Management 14, 55-58.
34.Savin, N. E., 1980, The Bonferroni and the Scheffe multiple comparison procedures, Review of Economic Studies 48, 255-273.
35.Sullivan, Ryan, Allan Timmermann and Halbert White, 1999, Data-snooping, technical trading rule performance, and the Bootstrap, Journal of Finance 5, 1647-11691.
36.West, Kenneth. D., 1996, Asymptotic inference about predictive ability, Econometrica 64, 1067-1084.
37.Westfall, P. H. and S. S. Young, 1993, Resampling-Based Multiple Testing: Examples and Methods for p-Value Adjustment (New York: Wiley).
38.White, Halbert, 2000, A reality check for data snooping, Econometrica 68, 1097-1126.
QRCODE
 
 
 
 
 
                                                                                                                                                                                                                                                                                                                                                                                                               
第一頁 上一頁 下一頁 最後一頁 top
無相關期刊
 
系統版面圖檔 系統版面圖檔