臺灣博碩士論文加值系統

中文摘要
本研究是從『The Institute for Financial Markets』之資料庫的八大類別，挑選出成交量最大的商品，利用Romano and Wolf (2005)的逐歩真實檢定法(SRC)，應用於三大交易所的八大金融商品市場，以檢驗濾嘴法則（FR）、移動平均線（MA）、量能潮（OBV）、量能策略（MSV）等四大類之技術分析指標組合成3,770條之交易規則，以模擬交易方式，於產生交易訊號後，扣除進出場之交易成本去計算其報酬率，以驗證是否真具有獲取超額報酬的能力。在檢驗後我們發現此3,770條之交易規則，在這八大商品市場，並無法拒絕虛無假說，故此八大市場為具有效率的市場，此3,770條之交易規則，並無獲取超額報酬的能力。另外我們探究其因為，若交易規則內含有過多不具解釋能力的交易規則，會拉高臨界值，而造成無法拒絕虛無假說的檢定結果。而此3,770條之交易規則中，MSV類之交易規則對於操作績效顯的有著大好大壞之表現，但仍以負報酬的操作績效較正報酬的操作績效為多，而MA類之交易規則對於操作績效就顯得較MSV穩定。

Abstract
This research is to pick out the commodities with the biggest amounts of transactions from eight major classifications of the database of " The Institute for Financial Markets ", and applying Romano and Wolf (2005) Stepwise Multiple Testing (SRC) to the eight financial commodity markets in three major exchanges. We use the four technical analysis indicators, the filter rule (FR)、the moving average (MA)、the on balance volume ( OBV) and the momentum strategy of volume ( MSV), to make up into these 3,770 rules of transactions. In order to prove whether these rules have ability to obtain excess return or not, we examine them by way of imitating the transaction. When the trading signal is found, we delete the trading cost to calculate its return. After examining, we find these 3,770 rules of transactions are unable to reject null hypothesis in the eight major markets. So the eight major markets are efficient, and these 3,770 rules of transactions have not obtained the ability of the excess return. We probe into the cause of the above result and find out that if the rules of transactions contain too many rules without explainable ability, it will draw high the critical value and result in the examination that is unable to reject null hypothesis. Among these 3,770 rules of transactions, it is obvious that rules of MSV affect the operation performance much better or much worse, but the operation performances with negative return are more frequent than the operation performance with positive return. Rules of MA are more stable than MSV for the operation performance.

目 錄
中文摘要．．．．．．．．．．．．．．．．．．．．．．．．．　Ⅰ
英文摘要．．．．．．．．．．．．．．．．．．．．．．．．．　Ⅱ
謝誌．．．．．．．．．．．．．．．．．．．．．．．．．．．　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　．．．．．．．．．．．．．．．．．．．　４
　第三節　研究架構．．．．．．．．．．．．．．．．．．．．　６
第二章　文獻探討．．．．．．．．．．．．．．．．．．．．．　７
第三章　研究方法．．．．．．．．．．．．．．．．．．．．　１３
　第一節　資料說明與來源．．．．．．．．．．．．．．．．　１３
　第二節　交易法則與買賣時點的決定．．．．．．．．．．．　１６
第三節 資料探勘（Data-Snooping）．．．．．．．．．．．　２３
第3.1節 White’s RC（White’s Reality Check）．．．．．．．２５
第3.2節 Hansen SPA test (Test for Superior Predictive Ability) ２７
第3.3節 RW的Stepwise Multiple Testing（SRC）法．．．．　２９
第四章　實證結果與分析．．．．．．．．．．．．．．．．．　３４
第一節　報酬率之計算．．．．．．．．．．．．．．．．．　３４
第二節　以SRC檢定法檢驗交易規則之結果分析．．．．．．　３６
第五章　結論與建議．．．．．．．．．．．．．．．．．．．　４３
第一節　結論．．．．．．．．．．．．．．．．．．．．．　４３
第二節 未來研究建議．．．．．．．．．．．．．．．．．　４４
附錄．．．．．．．．．．．．．．．．．．．．．．．．．．　４５
表 目 錄
表3-1-1 模擬交易所使用之金融商品名稱及資料起訖日期明細表．．１４　　
表3-1-2 八大金融商品之交易手續費及其每檔跳動之價值明細表．．１４
表3-2-1 模擬交易所使用之指標參數明細表．．．．．．．．．．．２２
表4-2 　BP之真實值檢定統計量 ．．．．．．．．．．．．．．． ３８
表4-3 拔靴抽樣後拒絕虛無假說之情形表．．．．．．．．．．．４０
表4-4　 四大類交易規則對真實值檢定統計量最大值及最小值之分析４１
表4-5　　 四大類交易規則對真實值檢定統計量為正值之分析．．．．４１
圖 目 錄
圖１－１研究架構與流程．．．．．．．．．．．．．．．．．．　６

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