跳到主要內容

臺灣博碩士論文加值系統

(44.200.140.218) 您好!臺灣時間:2024/07/18 03:46
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

: 
twitterline
研究生:張雅婷
研究生(外文):Ya-Ting Chang
論文名稱:誰使用技術分析買賣股票?
論文名稱(外文):Who Plays Technical Analyses?
指導教授:蕭朝興蕭朝興引用關係
指導教授(外文):Chao-Shin Chiao
學位類別:碩士
校院名稱:國立東華大學
系所名稱:國際經濟研究所
學門:社會及行為科學學門
學類:經濟學類
論文種類:學術論文
論文出版年:2008
畢業學年度:97
語文別:中文
論文頁數:50
中文關鍵詞:死亡交叉黃金交叉可市價化限價單不均衡移動平均線隨機指標委託單不均衡
外文關鍵詞:marketable order imbalanceMAgold crossdeadly crossorder imbalanceKD
相關次數:
  • 被引用被引用:10
  • 點閱點閱:849
  • 評分評分:
  • 下載下載:309
  • 收藏至我的研究室書目清單書目收藏:2
本文研究目的為探討技術分析與投資人委託行為的關係;簡言之,誰使用技術分析買賣股票。本文使用的技術分析工具為隨機指標(Stochastic Oscillator或KD)與移動平均線(Moving Averages或MA)。本文利用委託單不均衡(Order imbalance)與可市價化限價單不均衡(Marketable order imbalance)了解投資人委託行為。研究發現:第一、KD黃金或死亡交叉後報酬率的確有反轉現象,但MA沒有預測能力。第二、投資人委託行為有追隨KD隨機指標的傾向。KD黃金(死亡)交叉後,以積極委託單的角度,外資傾向更積極買進(賣出),即使控制前兩期報酬率及各項條件限制後,外資有追隨KD隨機指標的傾向依然顯著,證明外資為技術指標使用者。以耐心委託單的角度,個別投資人委託行為傾向於高賣(低買);法人傾向於高買(低賣)。
The purpose of this paper is to examine the relation between technical analyses and the order submission behaviors of five groups of investors, or, simply, which investors play technical analyses. The technical analyses used in this paper are the stochastic oscillator (KD) and the moving averages (MA). The results show that, firstly, after the gold (deadly) cross of KD, the returns tend to reverse, whereas the MA seems to play no role. Secondly, the order submission behaviors of five groups of investors are indeed affected by the gold or deadly cross of KD. After the gold (deadly) cross of KD, from the angle of aggressive limit orders, foreign investors buy (sell) stocks more aggressively, even after controlling for the returns of past two days, implying that they are investors following technical analysis. From the angle of patient limit orders, individual investors have a strong tendency to net sell (buy) the stocks at highs (lows); by contrast, institutional investors try to buy (sell) them at highs (lows).
摘要 I
目錄 II
表目 III
圖目 IV

1.前言 1
2.相關文獻 5
2.1技術分析 5
2.2投資人委託下單行為模式 5
3.資料來源與樣本選取 7
3.1資料來源 7
3.2樣本選取 7
4.研究方法 9
4.1技術指標事件 9
4.2委託單不均衡 10
4.3可市價化限價單不均衡 10
4.4委託單不均衡與可市價化限價單不均衡之差值 11
5.實證結果與分析 13
5.1 報酬率趨勢 13
5.2條件限制下的報酬率趨勢 14
5.3成交量比例與成交單不均衡 16
5.4委託單不均衡 17
5.5可市價化限價單不均衡 18
5.6委託單不均衡與可市價化限價單不均衡之差值 19
5.7條件限制下的可市價化限價單不均衡 20
5.8條件限制下委託單不均衡與可市價化限價單不均衡之差值 22
5.9迴歸分析 23
6.結論 25
參考文獻 27
Admati, A., and Pfleiderer, P., 1988, A Theory of Intraday Patterns: Volume and Price Variability, Review of Financial Studies 1, 3-40.

Allen, F., and Karjalainen, R., 1999, Using Genetic Algorithms to Find Technical Trading Rules, Journal of Financial Economics 51, 245-271.

Angel, J., 1994, Limit Versus Market Orders, working paper, Georgetown University.

Badrinath, S. G. and Wahal, S., 2002, Momentum Trading by Institutions, Journal of Financ 57, 2449-2478.

Barber, B. M. and Odean, T., 2008, All that Glitter: The Effect of Attention and News on the Buying Behavior of Individual and Institutional Investors, Review of Financial Studies 21, 785-818.

Blume, L., Easley, D., and O'Hara, M., 1994, Market Statistics and Technical Analysis: The Role of Volume, Journal of Finance 49, 153-181.

Bloomfield, R., O’Hara, M., and Saar, G., 2005, The ‘Make or Take’ Decision in an Electronic Market: Evidence on the Evolution of Liquidity, Journal of Financial Economics 75, 165-199.

Brennan, M. J., and Subrahmanyam, A., 1995, Investment Analysis and Price Formation in Securities Markets, Journal of Financial Economics 38, 361-381.

Brock, W., Lakonishok, J., and LeBaron, B., 1992, Simple Technical Trading Rules and the Stochastic Properties of Stock Returns, Journal of Finance 47, 1731-1764

Brown, D. and Jennings, R., 1989, On Technical Analysis, Review of Financial Studies 2, 527-551.

Chan, L. K. C., Jegadeesh, N., and Lakonishok, J., 1996, Momentum Strategies, Journal of Finance 51, 1681-1713.

Choe, H., Kho, R., and Stulz, R.M., 1999, Do Foreign Investors Destabilize Stock Markets? The Korea Experience in 1997, Journal of Financial Economics 54, 227-264.

Chordia T., Roll, R., and Subrahmanyam, A., 2002, Order Imbalance, Liquidity and Market Returns, Journal of Financial Economics 65, 111-130.

Chiao, C. and Wang, Z., 2008, Order Submission Behaviors surrounding Opening-Market Repurchase announcements: The Example of a Missing Link Embedded in the Signaling Hypothesis, working paper, Department of Finance, National Dong Hwa University.

Chiao, C., Wang, Z., and Lai, H., 2007. Order Submission Behaviors and Opening Price Behaviors in the Taiwan Stock Market. Unpublished manuscript, Department of Finance, National Dong Hwa University.

Cooper, M. J., Gutierrez Jr., R. C. and Hameed, A., 2004, Market States and Momentum, Journal of Finance 59, 1345-1365.

Daniel, K. and Titman, S., 1997, Evidence on the Characteristics of Cross Sectional Variation in Stock Returns, Journal of Finance 52, 1-33.

Dennis, P. J., and Strickland, D., 2002, Who Blinks In Volatile Markets, Individuals or Institutions? Journal of Finance 57, 1923-1949.

Fama, E. F., and French, K. R., 1992, The Cross-Section of Expected Stock Returns, Journal of Finance 47, 427-465.

Froot, K. A., Scharfstein, D. S., and Stein, J. C. 1992, Herd on the Street: Informational Inefficiencies in a Market with Short-Term Speculation, Journal of Finance 47, 1461-1484

Glosten, L., 1994, Is the Electronic Limit Open Book Inevitable? Journal of Finance 49, 1127-1161.

Grinblatt, M. and Keloharju, M., 2000, The Investment Behavior and Performance of Various Investor Types: A Study of Finland’s Unique Data Set, Journal of Financial Economics 55, 43-67.

Grinblatt, M., Titman, S., and Wermers, R., 1995, Momentum Investment Strategies, Portfolio Performance, and Herding: A Study of Mutual Fund Behavior, American Economic Reviews 85, 1088-1105.

Grundy, B., and Martin, S., 1998, Understanding the Nature of the Risks and the Source of the Rewards to Momentum Investing, Working paper, Wharton School, University of Pennsylvania.

Harris, L., 1997, Optimal Dynamic Order Submission Strategies in Some Stylized Trading problems, Financial Markets, Institutions, and Instruments 7, 26–74.

Kyle, A., 1985, Continuous Auctions and Insider Trading, Econometrica 53, 1315-1336.

Jegadeesh, N., 2000, Foundations of Technical Analysis: Computational Algorithms, Statistical Inference, and Empirical Implementation: Discussion, Journal of Finance 55, 1765-1770.

Jegadeesh, N., and Titman, S., 1993, Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency, Journal of Finance 48, 65-91.

Lakonishok, J., Shleifer, A., and Vishny, R.W., 1992, The Impact of Institutional Trading on Stock Prices, Journal of Financial Economics 32, 23-43.

Lakonishok, J., Shleifer, A., and Vishny, R. W., 1994, Contrarian Investment, Extrapolation, and Risk, Journal of Finance 49, 1541-1578.

Lee, Y., Liu, Y., Roll, R., and Subrahmanyam, A., 2004, Order Imbalances and Market Efficiency: Evidence from the Taiwan Stock Exchange, Journal of Financial and Quantitative Analysis 39, 327-341.

Lo, A. W., and MacKinlay, A. C., 1997, Maximizing Predictability in the Stock and Bond Markets, Macroeconomic Dynamics 1, 102-134.

Lo, A. W., and MacKinlay, A. C., 1999, A Non-Random Walk down Wall Street Princeton University Press, Princeton, N.J.

Lo, A. W., Mamaysky, H. and Wang, J., 2000, Foundations of Technical Analysis: Computational Algorithms, Statistical Inference, and Empirical Implementation, Journal of Finance 55, 1705-1765.

Malkiel, B., 1996, A Random Walk down Wall Street: Including a Life-Cycle Guide to Personal Investing, W. W. Norton, New York.

Neely, C., Weller. P., and Dittmar, R., 1997, Is Technical Analysis in the Foreign Exchange Market Profitable? A Genetic Programming Approach, Journal of Financial and Quantitative Analysis 32, 405-426

Neely, C. and Weller, P., 1998, Technical Trading Rules in the European Monetary System, Working paper, Federal Bank of St. Louis.

Neftci, S., 1991, Naive Trading Rules in Financial Markets and Wiener-Kolmogorov Prediction Theory: A Study of Technical Analysis, Journal of Business 64, 549-571.

Peterson, M. and Sirri, E., Order Submission Strategy and the Curious Case of Marketable Limit Orders, Journal of Financial and Quantitative Analysis 37, 2002, 221-241.

Pruitt, S. and White, R., 1988, The CRISMA Trading System: Who Says Technical Analysis Can’t Beat the Market? Journal of Portfolio Management 14, 55-58.

Ranaldo, R., Order Aggressiveness in Limit Order Book Markets, Journal of Financial Market 7, 2004, 53-74.

Ready, M. J., 2002, Profits from Technical Trading Rules, Financial Management Autumn, 43-61.

Rouwenhorst, K. G., 1998, International Momentum Strategies, Journal of Finance 53, 267-284.

Swanson, P. E. and Lin, A. Y., 2005, Trading Behavior and Investment Performance of U.S. Investors in Global Equity Markets, Journal of Multinational Financial Management 15, 99-115.
QRCODE
 
 
 
 
 
                                                                                                                                                                                                                                                                                                                                                                                                               
第一頁 上一頁 下一頁 最後一頁 top
無相關期刊