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研究生:楊淑真
研究生(外文):Shu-Chen Yang
論文名稱:標準普爾期貨指數之預測
論文名稱(外文):The Prediction of S&P 500 Index Futures
指導教授:徐俊明徐俊明引用關係
學位類別:碩士
校院名稱:國立中興大學
系所名稱:財務金融系所
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:2010
畢業學年度:98
語文別:中文
論文頁數:29
中文關鍵詞:S&;P 500指數S&;P 500指數S&;P 500指數S&;P 500指數
外文關鍵詞:S&ampP 500 IndexTechnical RulesPredictabilityVIX
相關次數:
  • 被引用被引用:1
  • 點閱點閱:121
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  • 下載下載:0
  • 收藏至我的研究室書目清單書目收藏:0
以預測標準普爾(S&;P 500)期貨指數為目標,以兩種方式來判斷其週走勢:(1)利用過去的變數(前期S&;P期貨指數報酬率、VIX指數、期貨未平倉量)來解釋目前股價報酬率,並預測下一期的期望報酬率。(2)以技術指標 (Technical Indicators) 產生買賣信號,來進行判斷及產生交易策略。本文的結果顯示,投資人以此方法在2001-2009交易將遭受損失,表示預測大盤(期貨)頗為困難。而本文中部份的技術法則雖可獲利,但並不代表未來可持續獲利。這個現象支持效率市場假說,但也顥示了為何市場上有部份投資人偏好使用技術分析。

The purpose of this study is to forecast the future trend of stock prices. Using Standard and Poor’s (S&P) 500 index futures as the target, I examine the predictability of two methods on their weekly trends. The two methods are based on fundamental and technical analyses, respectively. Specifically, I conduct regressions using past returns on S&P index futures, VIX index, and futures open interests to predict returns of next week, and apply technical rules to generate buy and sell signals. The results, however, show that investors would lose by using these methods to trade for the period of 2001-2009, implying the fruitlessness of stock price prediction. Nevertheless, technical rules can make profits for the whole period, while the profits are not stable over time. This can seemingly explain why investors prefer to use technical analysis in the short run. Overall, I conclude that the results are consistent with the efficient market hypothesis.

第一章 緒論 1
第一節 研究動機 1
第二節 研究目的 2
第三節 研究架構 2
第二章 文獻探討 3
第一節 投資組合理論與行為財務 3
第二節 報酬率之預測 5
第三節 技術分析 6
第三章 研究方法 9
第一節 報酬率的預測模式 9
第二節 技術指標 9
第三節 資料來源 11
第四章 實證結果與分析 12
第一節 解釋變數統計特性 12
第二節 分析不同期間模型預測結果 13
第三節 以迴歸分析進行交易之結果 17
第四節 以技術指標進行買進之結果 19
第五節 以技術指標進行賣出之結果 22
第五章 結論與建議 25
第一節 結論 25
第二節 建議 26
參考文獻 28

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