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研究生:曾詩婷
研究生(外文):TSENG, SHIH-TING
論文名稱:雙重濾嘴法則之績效研究
論文名稱(外文):Does Filter Rule Outperform the Market?
指導教授:郭志安郭志安引用關係
指導教授(外文):Guo, Zion
學位類別:碩士
校院名稱:國立彰化師範大學
系所名稱:財務金融技術學系
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
畢業學年度:103
語文別:中文
論文頁數:52
中文關鍵詞:濾嘴法則買權價格
外文關鍵詞:filter rulecall price
相關次數:
  • 被引用被引用:0
  • 點閱點閱:159
  • 評分評分:
  • 下載下載:11
  • 收藏至我的研究室書目清單書目收藏:1
投資人經常以濾嘴法作則為判斷買進與賣出的依據,本研究加入買權價格高估比率作為第二個判斷準則,搭配傳統濾嘴法則進行分析。研究結果顯示,不考慮交易成本時,雙重濾嘴法則與傳統單一濾嘴法則優劣互見,但二者幾乎都優於買進持有策略,當濾嘴夠大時,雙重濾嘴法則的績效顯著優於傳統單一濾嘴法則;考慮交易成本之後,雙重濾嘴則與買進持有策略皆顯著優於傳統單一濾嘴法則,當濾嘴夠大時,雙重濾嘴法則的績效顯著優於買進持有策略。
Investors usually seek to beat the market by filter rule. Based on the traditional filter rule, we add a call price as a criterion to create a dual filter rule. Our results show that, ignoring the trading cost, both the dual filter rule and the traditional filter rule outperform the market in most circumstances. Moreover, when the filter is large enough, the dual filter rule significantly outperforms the traditional filter rule. By taking the trading cost into consideration, the dual filter rule outperforms the traditional filter rule in all cases and beats the market as the filter is large enough.
目錄
中文摘要 Ⅰ
ABSTRACT Ⅲ
謝誌 Ⅴ
目錄 Ⅶ
圖次 Ⅸ
表次 XI
第一章 緒論 1
第一節 研究動機與目的 1
第二節 研究架構 2
第二章 相關理論與文獻探討 5
第一節技術分析 5
第二節濾嘴法則 6
第三節文獻探討 9
第三章 研究方法 21
第一節樣本與資料說明 22
第二節研究設計 22
第四章 研究結果與分析 27
第五章 結論 45
參考文獻 49
圖次
圖一 濾嘴法則示意圖 6
圖二 交易策略操作流程圖 25
表次
表一 整體雙重濾嘴法則績效比較(未考慮交易成本) 30
表二 整體雙重濾嘴法則績效比較(考慮交易成本) 31
表三 傳統產業雙重濾嘴法則績效比較(未考慮交易成本) 34
表四 傳統產業雙重濾嘴法則績效比較(考慮交易成本) 35
表五 科技業雙重濾嘴法則績效比較(未考慮交易成本) 38
表六 科技業雙重濾嘴法則績效比較(考慮交易成本) 39
表七 金融業雙重濾嘴法則績效比較(未考慮交易成本) 42
表八 金融業雙重濾嘴法則績效比較(考慮交易成本) 43

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