臺灣博碩士論文加值系統

摘要
本文主要研究目的在於利用濾嘴法則檢測外匯市場的效率性，本文使用濾嘴法則中的三種策略(買長、賣空與買長/賣空策略)分別
進行檢測歐元、日圓與英鎊匯率的操作報酬。經本文實證結果發現：在不考慮交易成本下，使用濾嘴法則之買長/賣空策略，可以得到較高的報酬，但考慮交易成本後將使此三種貨幣匯率的交易具有效率性。

Abstract
The main purpose of the study is applying filter rules to examine the efficiency
of foreign exchange. This paper uses three strategies of filter rules (buy long, sellshort, buy long and sell short strategies) to test the performance of the transaction forEUR, JPY, GBP. The findings show that people will obtain more return by takingbuy long/ sell short trategies of filter rules without considering transactioncost. However, the transaction of these three foreign exchange rate (EUR, JPY, GBP)will be more efficient by considering transaction cost.

Contents
Abstract……………………………………………………..i
摘要………………………………………………………...ii
Acknowledgement………………………………….………iii
Chapter I – INTRODUCTION ………….…………………1
1.1 Research Motive…………………….……………….1
1.2 Research objective………………………。…………2
1.3 Research Process...............................3
1.4 Definition of Filter Rule......................4
Chapter II - REVIEW OF RELATED LITERATURE……………7
2.1 Efficient Market………………………………………7
2.1.1 Three Versions of the Efficient Market Hypothesis.7
2.2 Literature Review…………………………………..……9
2.3 Foreign Exchange Market / FOREX /…………………………13
2.3.1 History of the foreign exchange market………………14
2.3.2 Principles of foreign exchange dealing……………20
2.3.3 Types of foreign exchange trading……….……..22
Chapter III –RESEARCH MATERIAL AND METHOD ……………24
3.1 Research material………………………………………24
3.2 Research method……………………………….25
3.2.1 Filter rule…………………………………..……25
Chapter IV – STUDY OF RESULT ……………………28
4.1 Buy long-rule……………………………..……28
4.2 Short-selling rules………………………………….……31
4.3 Buy a long / short sell rule………………….…....35
4.4 Comparison of various rules…………………………………39
Chapter V - RESEARCH CONCLUSION…………………...……41

Reference
Chang, Y.W., (2002). “Using the Positive and Negative Basis to Test the Efficiency
of Taiwan Stock Market”, Graduate Institute of Business Administration
Master's Thesis
Fama, E.F., and Blume, M.E., (1966). “Filter Rule and Stock market trade” Journal
of business, 39(1), 226-241
Francis, J.C., and Ibbotson, R., (2003). “Efficient capital market and anomalies”
filter rule 10(5), 226-241
FARLEX Financial Dictionary (2009).
http://financial-dictionary.thefreedictionary.com/Filter+Rule
Hsu, H., and Lai, M.H., (2000). “The Application of Contingent Portfolio Insurance
in the Taiwan Stock Market” ,Journal of Risk Management 2 (2), 75-97
June, M.J., (1978) “Some Anomalous Evidence Regarding Market Efficiency,”
Journal of Financial Economics 23, 5-101.
Kozyra.J., and Lento,C., (2011) “Filter rules: follow the trend or take the contrarian
approach”, Applied Economics Letters 18(3) 235 – 237
Lakonishok, B., and Baron, L., (1994) ”Head-and-Shoulders and Filter Rule”,
Journal of Applied Business Research. 23(1), 153-157
Roger, C. Y., and Chou, J.H., (2002). “The Trading Performance of Filter Rules
and Market Efficiency of the Taiwan Futures Exchange”, National Kaohsiung
of Science and Technology 5(4) 539–57
Scott, D.L., (2003). “Guide to Investment Terms for Today's Investor” Filter rule.
http://invest.yourdictionary.com/filter-rule
Sweeney, R.J., (1988) “Same Filter Rule test - Method and Result”, Journal of Quantitative
Analysis. 23(3), 285-300
~ 43 ~
Shih, M.J., (2007). “Establishing the Future Index Trading Model Using the
Filter Rules”, Department of finance Chaoyang university of technology
–Master's Thesis
Wang, C.K., (2008)”Applying Genetic Algorithm and Filter Rule to Stock
Investment In Taiwan Stock Market”, Submitted to department of information
management I-Shou university Master's Thesis