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研究生:呂宗勳
研究生(外文):Tsung-HsunLu
論文名稱:單根K線的預測能力:以台灣股市為例
論文名稱(外文):The Predictive Power of Single-Line Patterns of Candlestick Charting: Evidence from the Taiwan Stock Market
指導教授:許永明許永明引用關係劉宗其劉宗其引用關係
指導教授(外文):Yung-Ming ShiuYung-Ming Shiu
學位類別:博士
校院名稱:國立成功大學
系所名稱:企業管理學系碩博士班
學門:商業及管理學門
學類:企業管理學類
論文種類:學術論文
論文出版年:2012
畢業學年度:100
語文別:英文
論文頁數:75
中文關鍵詞:技術分析K線型態拔靴法台灣股市
外文關鍵詞:Technical analysisCandlestick patternsBootstrap methodologyTaiwan stock market
相關次數:
  • 被引用被引用:10
  • 點閱點閱:576
  • 評分評分:
  • 下載下載:0
  • 收藏至我的研究室書目清單書目收藏:0
K線技術分析是一種歷史悠久的交易技巧,它利用開盤價、最高價、最低價與收盤價來追蹤短期價格的變動。本文的目的是以台灣加權指數151支成份股,1992年1月2日到2009年12月31日的日資料為樣本來檢驗K線交易策略的預測能力。最主要的貢獻是本文使用一個系統化的檢驗方式-四價分析法,這方法可以將單根K線完整地分類。這個方法也解除了過去對K線型態認定上的限制。另外,我們不只考慮了交易成本與風險,也用了數種適當的方法來解決資料探勘的問題,包括拔靴法以及切割樣本和樣本外檢驗。本文的結論發現,在扣除交易成本後,有四種單根K線確實在台灣股市具有獲利能力,其中包含一個買進訊號與三個賣出訊號。
Candlestick technical analysis is an old trading technique that tracks the short-term price movements by employing the relationship between open, high, low, and close prices. The purpose of this thesis is to examine the predictive power of candlestick trading strategies by using the Taiwan 151 component stocks daily data for the period from 2 January 1992 to 31 December 2009. The main contribution of this thesis is using a four-price-level approach to categorize the single-line patterns constructed by candlestick charting in a systematical manner. The approach adopted in this thesis permits us to release for the limitation of recognition in a manner not previously possible. Moreover, we not only consider transaction costs and risk but also mitigate data-snooping problems conscientiously by several appropriate methods, including the bootstrap methodology and sub-sample and out-of-sample tests. We find evidence that four patterns are profitable for the Taiwan stock market after transaction costs, including one bullish pattern and three bearish ones.
Contents
中文摘要 I
Abstract II
誌謝 III
Contents IV
List of Tables VI
List of Figures VII
Chapter 1 Introduction 1
1.1 Motivation 1
1.2 Purpose 7
1.3 Main Contributions 9
1.4 Research Framework 10
Chapter 2 Literature Review 12
2.1 Technical Analysis 13
2.2 Candlestick Charting 18
Chapter 3 Theory and Methodology 24
3.1 Related Theories 24
3.1.1 Principle of Supply and Demand 24
3.1.2 Principle of Behavioral Finance 26
3.2 Related Methodologies 29
3.2.1. Skewness Adjusted t-statistic 29
3.2.2. Out-of-sample Test 29
3.2.3. Bootstrap Methodology 31
Chapter 4 Data and Research Design 33
4.1 Data 33
4.2 Research Design 36
4.2.1 Categorizing Patterns 37
4.2.2 Identifying Trends 41
4.2.3 Calculating Profits 42
4.3 Treatment of Transaction Costs and Risk 43
Chapter 5 Empirical Results 45
5.1 In-sample Results 45
5.2 Bootstrap Results 53
5.3 Out-of-sample Results 56
5.4 Sensitivity Analysis 58
Chapter 6 Conclusion 60
References 64
Appendix: The 151 Sampling Stocks 71
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