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研究生:瑪拉
研究生(外文):GOOMARAL GANBOLD
論文名稱:技術分析與市場效率性—以日本、台灣及中國股票市場為例
論文名稱(外文):Technical Analysis and Market Efficiency-Evidence on Japan, Taiwan and China Markets
指導教授:袁淑芳袁淑芳引用關係
指導教授(外文):YUAN, SHU-FAN
口試委員:賴丞坡黃江川
口試委員(外文):LAI, CHENG-POHUANG, CHIANG-CHUAN
口試日期:2017-01-04
學位類別:碩士
校院名稱:南華大學
系所名稱:企業管理學系管理科學碩博士班
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:2017
畢業學年度:105
語文別:英文
論文頁數:68
外文關鍵詞:Asian Stock Markets (ASM)Technical Analysis (TA)Technical Analysis Indicator (TAI)Market Efficiency (ME)Trading Performance (TP)
相關次數:
  • 被引用被引用:0
  • 點閱點閱:405
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  • 下載下載:135
  • 收藏至我的研究室書目清單書目收藏:2
  Main purpose of this study focuses on examining market efficiency of stock in Asian countries by empirically evaluating the performances of popular technical analysis indicators. Technical analysis indices, will be employed to be used are SMA, EMA, WMA, MACD and RSI. In this study, we also try to determine which method provide more useful information in making the profitable trading rule for 3 main markets of Asia stock markets, Japan, Taiwan and China. The examination covered the following by 3 main questions:
  This study test whether technical analysis is useful or not in 3 Asian markets? Which market is more efficiency according to evaluated performance of technical analysis indicators.
  Which indices is more significant return in these markets?
  What parameter combination should we use? (short-term and long-term horizon)?
  The purpose of this study is to provide useful information for potential investors in Japan, Taiwan and China stock market. Though these 3 markets are famous Asia stock markets, however, they are categoried into different level of efficiency markets, for example Japanese stock market is mature market due to its well marke stucture and trading cost, Taiwanese stock market is old emerging market within high growth rate and Chinese market is new emerging market that is growing quickly recently. Furthermore, comparing to three different Asian stock markets which are various of each other that become more interesting for us.
ABSTRACT  II
TABLE OF CONTENTS  IV
LIST OF TABLES  VI
LIST OF FIGURES  VII

CHAPTER ONE INTRODUCTION  1
1.1 Background  1
1.2 Motivation  4
CHAPTER TWO LITERATURE REVIEW  6
2.1 Market Efficiency  6
2.1.1 The Different Types of Efficiency  7
2.2 Technical Analysis  9
2.2.1 Trading Strategy  12
2.2.2 Technical Indicator  18
CHAPTER THREE RESEARCH METHODOLOGY  21
3.1 Research framework  21
3.2 Hypothesis Testing  22
3.2.1 The Efficient Market Hypothesis  22
3.2.2 Hypothesis of Parameter Combinations  23
3.3 Proposed Technical Indicators  26
3.3.1 Moving Average (MA)  26
3.3.2 Moving Average Convergence Divergence (MACD)  30
3.3.3 The Relative Strength Index (RSI)  31
3.3.4 T-Test  32
3.4 Trading Strategy  33
3.4.1 For MA strategy  33
3.4.2 For MACD strategy  34
3.4.3 For RSI strategy  34
3.5 Measurement Scale  35
3.5.1 For Technical analysis  35
3.5.2 For the T-test statistic  38
3.6 Data Analysis Procedures  40
CHAPTER FOUR EMPIRICAL RESULT  41
4.1 Technical analysis  41
4.2 T-TEST Statistic  51
CHAPTER FIVE CONCLUSION  60
5.1 Conclusion  60
5.2 Limitation and Suggestion  64
References  65
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