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題名 葛蘭碧交易法則的檢驗與調整
Examination and Adjustment On Granville’s Trading Rules
作者 廖士安
Liao, Shih-An
貢獻者 胡聯國
Hu, Len-Kuo
廖士安
Liao, Shih-An
關鍵詞 葛蘭碧法則
技術分析
股票市場
Granville Rules
Technical analysis
Stock market
Technical trading rules
日期 2019
上傳時間 1-Apr-2019 14:35:22 (UTC+8)
摘要 As Pring (2002) said, the essence of technical analysis is to identify a trend reversal at a relatively early stage and ride on that trend. Motivated by the interest in the art of technical analysis, this thesis intends to find somehow to beat the market whether the market is a Bull market or a Bear market. The technical analysis I applied in this paper is Joseph Granville Rules (Granville Rules). The Granville Rules are derived from simple calculations between the price and the moving average. This thesis investigates the profitability of the Granville Rules. And in the pursuit of better profitability, I add some restrictions under the spirit of the original rules. The dataset comes at the daily frequency and consists of the closing price and opening price on three stock indexes: Taiwan Capitalization Weighted Stock Index (TAIEX), Dow Jones Industrial Average Stock Index (DJI) and Shanghai Securities Composite Stock Index (SSE). The empirical test shows that the Granville Rules are increasingly profitable and rewards investors with notable returns in the stock markets.
參考文獻 Cheol-Ho Park and Scott H. Irwin (2004) “Profitability of Technical Analysis: A Review” AgMAS Project Research Report 2004-04
Fama, E. F. (1997) “Market Efficiency, Long-Term Returns, and Behavioral Finance.” Journal of Financial Economics, 49(1998):283-306.
Gerwin A. W. Griffioen (2004) “Technical Analysis in Financial Markets” New York Institute of Finance, 2004
Huadong (Henry) Pang (2009) “A Novel Simple but Empirically Consistent Model for Stock Price and Option Pricing” Working paper
Pring M. J. “Technical Analysis Explained” New York, NY: McGraw-Hill, 2002.
Samuelson, P. (1965) “Proof that Properly Anticipated Prices Fluctuate Randomly” Industrial Management Review 6, 41-49
Sheng-You Huang, Wang Zong Min (2016) “The Timepipe” Unpublished
Valeriy Zakamulin (2015) “Market Timing with a Robust Moving Average” Working paper
William Wai Him Tsang, Terence Tai Leung Chong (2009) “Profitability of the On-Balance Volume Indicator” Economics Bulletin Volume 29 Issue 3
描述 碩士
國立政治大學
國際經營與貿易學系
105351036
資料來源 http://thesis.lib.nccu.edu.tw/record/#G0105351036
資料類型 thesis
dc.contributor.advisor 胡聯國zh_TW
dc.contributor.advisor Hu, Len-Kuoen_US
dc.contributor.author (Authors) 廖士安zh_TW
dc.contributor.author (Authors) Liao, Shih-Anen_US
dc.creator (作者) 廖士安zh_TW
dc.creator (作者) Liao, Shih-Anen_US
dc.date (日期) 2019en_US
dc.date.accessioned 1-Apr-2019 14:35:22 (UTC+8)-
dc.date.available 1-Apr-2019 14:35:22 (UTC+8)-
dc.date.issued (上傳時間) 1-Apr-2019 14:35:22 (UTC+8)-
dc.identifier (Other Identifiers) G0105351036en_US
dc.identifier.uri (URI) http://nccur.lib.nccu.edu.tw/handle/140.119/122743-
dc.description (描述) 碩士zh_TW
dc.description (描述) 國立政治大學zh_TW
dc.description (描述) 國際經營與貿易學系zh_TW
dc.description (描述) 105351036zh_TW
dc.description.abstract (摘要) As Pring (2002) said, the essence of technical analysis is to identify a trend reversal at a relatively early stage and ride on that trend. Motivated by the interest in the art of technical analysis, this thesis intends to find somehow to beat the market whether the market is a Bull market or a Bear market. The technical analysis I applied in this paper is Joseph Granville Rules (Granville Rules). The Granville Rules are derived from simple calculations between the price and the moving average. This thesis investigates the profitability of the Granville Rules. And in the pursuit of better profitability, I add some restrictions under the spirit of the original rules. The dataset comes at the daily frequency and consists of the closing price and opening price on three stock indexes: Taiwan Capitalization Weighted Stock Index (TAIEX), Dow Jones Industrial Average Stock Index (DJI) and Shanghai Securities Composite Stock Index (SSE). The empirical test shows that the Granville Rules are increasingly profitable and rewards investors with notable returns in the stock markets.en_US
dc.description.tableofcontents 1　 Introduction 1
2 　Literature Review 3
3 　Methodology 5
3.1　Benchmark 5
3.2　Granville Rules 5
3.3　Test 8
3.4　Examination 10
3.5　Adjustment 11
4　 Data 11
5　 Empirical Results 12
5.1　Taiwan Capitalization Weighted Stock Index 12
5.2　 SSE Composite Stock Index 18
5.3　 Dow Jones Industrial Average 24
6　 Examination and Adjustment 30
6.1　 Adjustment on TAIEX 30
6.2　 Adjustment on SSE index 35
6.3　 Adjustment on DJI 37
6.4　 Summary 39
7　 Conclusions 40
8　 Recommendations for Future Research 41
References 42
Appendices 43		zh_TW
dc.format.extent 2542533 bytes-
dc.format.mimetype application/pdf-
dc.source.uri (資料來源) http://thesis.lib.nccu.edu.tw/record/#G0105351036en_US
dc.subject (關鍵詞) 葛蘭碧法則zh_TW
dc.subject (關鍵詞) 技術分析zh_TW
dc.subject (關鍵詞) 股票市場zh_TW
dc.subject (關鍵詞) Granville Rulesen_US
dc.subject (關鍵詞) Technical analysisen_US
dc.subject (關鍵詞) Stock marketen_US
dc.subject (關鍵詞) Technical trading rulesen_US
dc.title (題名) 葛蘭碧交易法則的檢驗與調整zh_TW
dc.title (題名) Examination and Adjustment On Granville’s Trading Rulesen_US
dc.type (資料類型) thesisen_US
dc.relation.reference (參考文獻) Cheol-Ho Park and Scott H. Irwin (2004) “Profitability of Technical Analysis: A Review” AgMAS Project Research Report 2004-04
Fama, E. F. (1997) “Market Efficiency, Long-Term Returns, and Behavioral Finance.” Journal of Financial Economics, 49(1998):283-306.
Gerwin A. W. Griffioen (2004) “Technical Analysis in Financial Markets” New York Institute of Finance, 2004
Huadong (Henry) Pang (2009) “A Novel Simple but Empirically Consistent Model for Stock Price and Option Pricing” Working paper
Pring M. J. “Technical Analysis Explained” New York, NY: McGraw-Hill, 2002.
Samuelson, P. (1965) “Proof that Properly Anticipated Prices Fluctuate Randomly” Industrial Management Review 6, 41-49
Sheng-You Huang, Wang Zong Min (2016) “The Timepipe” Unpublished
Valeriy Zakamulin (2015) “Market Timing with a Robust Moving Average” Working paper
William Wai Him Tsang, Terence Tai Leung Chong (2009) “Profitability of the On-Balance Volume Indicator” Economics Bulletin Volume 29 Issue 3		zh_TW
dc.identifier.doi (DOI) 10.6814/THE.NCCU.IB.002.2019.F06en_US