| dc.contributor.advisor | 郭維裕 | zh_TW |
| dc.contributor.advisor | Kuo,Weiyu | en_US |
| dc.contributor.author (作者) | 陳映廷 | zh_TW |
| dc.contributor.author (作者) | Chen, Ying-Ting | en_US |
| dc.creator (作者) | 陳映廷 | zh_TW |
| dc.creator (作者) | Chen, Ying-Ting | en_US |
| dc.date (日期) | 2004 | en_US |
| dc.date.accessioned | 11-九月-2009 17:11:23 (UTC+8) | - |
| dc.date.available | 11-九月-2009 17:11:23 (UTC+8) | - |
| dc.date.issued (上傳時間) | 11-九月-2009 17:11:23 (UTC+8) | - |
| dc.identifier (其他 識別碼) | G0923510211 | en_US |
| dc.identifier.uri (URI) | https://nccur.lib.nccu.edu.tw/handle/140.119/30079 | - |
| dc.description (描述) | 碩士 | zh_TW |
| dc.description (描述) | 國立政治大學 | zh_TW |
| dc.description (描述) | 國際經營與貿易研究所 | zh_TW |
| dc.description (描述) | 92351021 | zh_TW |
| dc.description (描述) | 93 | zh_TW |
| dc.description.abstract (摘要) | The price of stocks, futures, commodities and currency are for ever changing. Anyone interested in financial prices soon discovers that changes in prices are frequently substantial and are always difficult to forecast. This paper describes the behavior of prices from a statistical perspective. Specifically, employ several technical trading rules to uncover the trend of futures price movement and attempt to make profit out of the trend. In this paper, trading of seven technical trading systems is simulated for three futures contracts from September 1998 to March 2005 to test for market disequilibrium. The results differ by trading systems. Four systems produced positive mean net returns and five systems produced positive gross return when optimal parameters were used. These results indicate that, there exist opportunities to design profitable trading systems for futures markets. | en_US |
| dc.description.tableofcontents | Abstract ………………………………………………………… 0 1. Introduction ………………………………………………… 1 2. Methodology ………………………………………………‥ 6 2.1 Technical Trading Systems ……………………………‥ 6 2.2 Measuring Trading Performance ………………………‥15 2.3 Data ………………………………………………………. 16 3. Empirical Results ……………………………‥……………18 3.1 The Alexander’s Filter Rule ………………………‥ 18 3.2 The Alexander’s Filter Rule ………………………… 19 3.3 The Moving Average Crossovers …………………………21 3.4 The Kestner`s Moving Average ………………………… 21 3.5 The Directional Movement System ………………………22 3.6 The SAR system ………………………………………… .23 3.7 The Volume Moving Average Crossovers ……………… 25 4. Conclusion …………………………………………………… 27 Reference ……………………………………………………… .28 Appendix ……………………………………………………… .29 | zh_TW |
| dc.language.iso | en_US | - |
| dc.source.uri (資料來源) | http://thesis.lib.nccu.edu.tw/record/#G0923510211 | en_US |
| dc.subject (關鍵詞) | 技術分析 | zh_TW |
| dc.subject (關鍵詞) | 指數期貨 | zh_TW |
| dc.subject (關鍵詞) | 台指期貨 | zh_TW |
| dc.subject (關鍵詞) | technical trading rules | en_US |
| dc.subject (關鍵詞) | index futures | en_US |
| dc.subject (關鍵詞) | TAIEX Futures | en_US |
| dc.title (題名) | The Profitability of Technical Trading Strategies in Taiwan Future Market | zh_TW |
| dc.type (資料類型) | thesis | en |
| dc.relation.reference (參考文獻) | Corrado, C. J. and Lee, S. H. (1992) Filter Rule Tests of the Economic Significance of Serial Dependencies in Daily Stock Returns. The Journal of Financial Research, Vol. XV, No. 4. | zh_TW |
| dc.relation.reference (參考文獻) | Fama, E. F. and M. E. Blume (1966) Filter Rules and Stock-Market trading. Journal of Business, 39, 226-241. | zh_TW |
| dc.relation.reference (參考文獻) | Kahneman, D. and Tversky A. (1979) Prospect Theory: An Analysis of Decision under Risk, Econometrica, Volume 47, Issue 2, 263-292. | zh_TW |
| dc.relation.reference (參考文獻) | Kestner, L. N. (2003) Quantitative Trading Stategies. McGraw-Hill. | zh_TW |
| dc.relation.reference (參考文獻) | Lukac, L. P., Brorsen, B. W. and Irwin, S. H. (1988) A Test of Ftures Market Disequilibrium Using Twelve Different Technical Trading Systems. Applied Economics, 20, 623-639 | zh_TW |
| dc.relation.reference (參考文獻) | Stevenson, R. A. and Bear, R. M. (1970) Commodity futures, trends, or random walks, Journal of Finance, 25, 65-81. | zh_TW |
| dc.relation.reference (參考文獻) | Smidt, S. (1964) Amateur Speculators, Graduate School of Business and Public Administration, Cornell University, Ithaca, NY. | zh_TW |
| dc.relation.reference (參考文獻) | Sweeney, R. J. (1988) Some new filter rule tests: Methods and results, Journal of Financial and Quantitative Analysis. 23, 285-300. | zh_TW |
| dc.relation.reference (參考文獻) | Taylor, S. J. (1992) Rewards Available to Currency Futures Speculators: Compensation for Risk or Evidence of Inefficient Pricing? Department of Accounting and Finance, The Management School, Lancaster University, England. | zh_TW |
| dc.relation.reference (參考文獻) | Taylor, S. J. (1994) Trading Futures Using a Channel Rules: A Study of the Predictive Power of Technical Analysis with Currency Examples. The Journal of Futures Markets, Vol. 14, No. 2, 215-235. | zh_TW |
| dc.relation.reference (參考文獻) | Odean, Terrece. (1998) Are Investors Reluctant to Realize Their Losses? Journal of Finance 53: 1775-1798 | zh_TW |
