學術產出-學位論文
文章檢視/開啟
書目匯出
Google ScholarTM
政大圖書館
引文資訊
TAIR相關學術產出
| 題名 | 結合策略應用在亞洲股市獲利性之研究 The Profitability of Combined Strategies in the Asian Stock Markets |
| 作者 | 黃友琪 Huang, Yu-Chi |
| 貢獻者 | 郭維裕 Kuo, Weiyu 黃友琪 Huang, Yu-Chi |
| 關鍵詞 | 技術分析 時間序列模型 非同步交易 Technical Trading Rules Time Series Models Non-synchronous Trading |
| 日期 | 2006 |
| 上傳時間 | 18-九月-2009 14:12:48 (UTC+8) |
| 摘要 | 參考Fang 2003年研究方法架構，我們檢驗了結合策略(結合技術分析法則和時間序列模型)應用在六個亞洲股票市場。由於技術分析法則和時間序列模型皆可利用過去歷史資訊來預測報酬，所以結合策略的實證結果優於技術分析法則和時間序列模型。此篇中超額報酬的計算是與買進持有相比較下未考慮交易成本的超額報酬。實證結果顯示，結合策略在完整樣本中可以成功的預測資產報酬，在六個國家的平均上，結合策略的超額報酬為0.19%優於技術交易法則下的0.13%和時間序列模型下的0.17%。並且，發現在新興國家如台灣、泰國、馬來西亞和南韓的預測能力比在已開發國家市場如香港和日本還要來的好。預測能力可被低階的自我相關係數解釋。除此之外，發現我們的預測能力受到非同步交易的影響。非同步交易所造成的衡量誤差使得超額報酬下降，但是我們的預測能力還是存在的。 Following Fang and Xu (2003), we examine trading strategies combining technical trading rules and times series forecasts on six Asian stock markets. Since both technical trading rules and time series models can exploit predictable components as function of past prices or returns, the combined strategies outperform both technical trading rules and time series forecasts. The excess returns before transaction costs for each rule and country are compared to a passive buy-and-hold strategy. The combined strategies are quite successful in predicting asset returns in full samples. On average the buy-sell returns for combined strategies are 0.19% much higher than 0.13% for technical trading rules and 0.17% for time series models. Besides, we also find that all three rules have more explanatory power in emerging markets such as Taiwan, Thailand, Malaysia and Korea than more developed markets such as Japan and Hong Kong. The predictability can be explained by significant low-order autocorrelations in returns. Moreover, excess returns (pre-trading costs) for both time series models and combined strategies can be partially attributed to the measurement errors arising from non-synchronous trading. The non-synchronous trading bias reduces but does not eliminate the predictive power of combined strategies. |
| 參考文獻 | 1. Bessembinderk, H., & Chan, K. (1995). The profitability of technical trading rules in the Asian stock markets. Pacific-Basin Finance Journal, 3, 257-284. 2. Bessembinderk, H., & Chan, K. (1998). Market efficiency and the returns to technical analysis. Financial Management, 27, 5-17. 3. Brock, W., Lakonishok, J., & Lebaron, B. (1992). Simple technical trading rules and the stochastic properties of stock returns. The Journal of Finance, 47, 1731-1764. 4. Chan, L., Jegadeesh, N., & Lakonishok, J. (1996). Momentum Strategies. The journal of finance, 51, 1681- 1713. 5. Fama, E. (1970). Efficient capital markets: A review of theory and empirical work. The Journal of Finance, 25, 383-417. 6. Fang, Y., & Xu, D. (2003). The predictability of asset returns: an approach combing technical analysis and time series forecasts. International of Forecasting, 19, 369-385. 7. Harvey, C. (1995a). The cross-section of volatility and autocorrelation in emerging markets. Finanzmarkt and Portfolio Management, 9, 12-34. 8. Mitchell, R., & Ricardo, L. (1999). Tests of technical trading strategies in the emerging equity markets of Latin America and Asia. Journal of Banking & Fianace, 23, 1887-1905. 9. Lo, A., & MacKinlay, C. (1990). An econometric analysis of nonsynchronous-trading. Journal of Econometrics, 45, 181-212. |
| 描述 | 碩士 國立政治大學 國際經營與貿易研究所 94351008 95 |
| 資料來源 | http://thesis.lib.nccu.edu.tw/record/#G0094351008 |
| 資料類型 | thesis |
| dc.contributor.advisor | 郭維裕 | zh_TW |
| dc.contributor.advisor | Kuo, Weiyu | en_US |
| dc.contributor.author (作者) | 黃友琪 | zh_TW |
| dc.contributor.author (作者) | Huang, Yu-Chi | en_US |
| dc.creator (作者) | 黃友琪 | zh_TW |
| dc.creator (作者) | Huang, Yu-Chi | en_US |
| dc.date (日期) | 2006 | en_US |
| dc.date.accessioned | 18-九月-2009 14:12:48 (UTC+8) | - |
| dc.date.available | 18-九月-2009 14:12:48 (UTC+8) | - |
| dc.date.issued (上傳時間) | 18-九月-2009 14:12:48 (UTC+8) | - |
| dc.identifier (其他 識別碼) | G0094351008 | en_US |
| dc.identifier.uri (URI) | https://nccur.lib.nccu.edu.tw/handle/140.119/35121 | - |
| 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) | 94351008 | zh_TW |
| dc.description (描述) | 95 | zh_TW |
| dc.description.abstract (摘要) | 參考Fang 2003年研究方法架構，我們檢驗了結合策略(結合技術分析法則和時間序列模型)應用在六個亞洲股票市場。由於技術分析法則和時間序列模型皆可利用過去歷史資訊來預測報酬，所以結合策略的實證結果優於技術分析法則和時間序列模型。此篇中超額報酬的計算是與買進持有相比較下未考慮交易成本的超額報酬。實證結果顯示，結合策略在完整樣本中可以成功的預測資產報酬，在六個國家的平均上，結合策略的超額報酬為0.19%優於技術交易法則下的0.13%和時間序列模型下的0.17%。並且，發現在新興國家如台灣、泰國、馬來西亞和南韓的預測能力比在已開發國家市場如香港和日本還要來的好。預測能力可被低階的自我相關係數解釋。除此之外，發現我們的預測能力受到非同步交易的影響。非同步交易所造成的衡量誤差使得超額報酬下降，但是我們的預測能力還是存在的。 | zh_TW |
| dc.description.abstract (摘要) | Following Fang and Xu (2003), we examine trading strategies combining technical trading rules and times series forecasts on six Asian stock markets. Since both technical trading rules and time series models can exploit predictable components as function of past prices or returns, the combined strategies outperform both technical trading rules and time series forecasts. The excess returns before transaction costs for each rule and country are compared to a passive buy-and-hold strategy. The combined strategies are quite successful in predicting asset returns in full samples. On average the buy-sell returns for combined strategies are 0.19% much higher than 0.13% for technical trading rules and 0.17% for time series models. Besides, we also find that all three rules have more explanatory power in emerging markets such as Taiwan, Thailand, Malaysia and Korea than more developed markets such as Japan and Hong Kong. The predictability can be explained by significant low-order autocorrelations in returns. Moreover, excess returns (pre-trading costs) for both time series models and combined strategies can be partially attributed to the measurement errors arising from non-synchronous trading. The non-synchronous trading bias reduces but does not eliminate the predictive power of combined strategies. | en_US |
| dc.description.tableofcontents | Abstract I Contents II Section 1. Introduction 1 Section 2. Data Description and Preliminary Analysis 9 Section 3. Empirical Methodology 12 3.1 Description of Technical Trading Rules 12 3.2 Measuring Returns of Technical Trading Rule 14 3.3 Time Series Models 15 3.4 Combination Forecasts 20 Section 4. Empirical Analysis 22 4.1 The Technical Trading Results Analysis 22 4.2 The Time Series Forecasts Analysis 26 4.3 The Combined Trading Strategies Analysis 29 4.4 Robustness Analysis 32 Section 5. Conclusions 35 References 38 | zh_TW |
| dc.format.extent | 45323 bytes | - |
| dc.format.extent | 67671 bytes | - |
| dc.format.extent | 13731 bytes | - |
| dc.format.extent | 13154 bytes | - |
| dc.format.extent | 19815 bytes | - |
| dc.format.extent | 69578 bytes | - |
| dc.format.extent | 53409 bytes | - |
| dc.format.extent | 16939 bytes | - |
| dc.format.extent | 14503 bytes | - |
| dc.format.extent | 101690 bytes | - |
| dc.format.mimetype | application/pdf | - |
| dc.format.mimetype | application/pdf | - |
| dc.format.mimetype | application/pdf | - |
| dc.format.mimetype | application/pdf | - |
| dc.format.mimetype | application/pdf | - |
| dc.format.mimetype | application/pdf | - |
| dc.format.mimetype | application/pdf | - |
| dc.format.mimetype | application/pdf | - |
| dc.format.mimetype | application/pdf | - |
| dc.format.mimetype | application/pdf | - |
| dc.language.iso | en_US | - |
| dc.source.uri (資料來源) | http://thesis.lib.nccu.edu.tw/record/#G0094351008 | en_US |
| dc.subject (關鍵詞) | 技術分析 | zh_TW |
| dc.subject (關鍵詞) | 時間序列模型 | zh_TW |
| dc.subject (關鍵詞) | 非同步交易 | zh_TW |
| dc.subject (關鍵詞) | Technical Trading Rules | en_US |
| dc.subject (關鍵詞) | Time Series Models | en_US |
| dc.subject (關鍵詞) | Non-synchronous Trading | en_US |
| dc.title (題名) | 結合策略應用在亞洲股市獲利性之研究 | zh_TW |
| dc.title (題名) | The Profitability of Combined Strategies in the Asian Stock Markets | en_US |
| dc.type (資料類型) | thesis | en |
| dc.relation.reference (參考文獻) | 1. Bessembinderk, H., & Chan, K. (1995). The profitability | zh_TW |
| dc.relation.reference (參考文獻) | of technical trading rules in the Asian stock markets. | zh_TW |
| dc.relation.reference (參考文獻) | Pacific-Basin Finance Journal, 3, 257-284. | zh_TW |
| dc.relation.reference (參考文獻) | 2. Bessembinderk, H., & Chan, K. (1998). Market efficiency | zh_TW |
| dc.relation.reference (參考文獻) | and the returns to technical analysis. Financial | zh_TW |
| dc.relation.reference (參考文獻) | Management, 27, 5-17. | zh_TW |
| dc.relation.reference (參考文獻) | 3. Brock, W., Lakonishok, J., & Lebaron, B. (1992). Simple | zh_TW |
| dc.relation.reference (參考文獻) | technical trading rules and the stochastic properties of | zh_TW |
| dc.relation.reference (參考文獻) | stock returns. The Journal of Finance, 47, 1731-1764. | zh_TW |
| dc.relation.reference (參考文獻) | 4. Chan, L., Jegadeesh, N., & Lakonishok, J. (1996). | zh_TW |
| dc.relation.reference (參考文獻) | Momentum Strategies. The journal of finance, 51, 1681- | zh_TW |
| dc.relation.reference (參考文獻) | 1713. | zh_TW |
| dc.relation.reference (參考文獻) | 5. Fama, E. (1970). Efficient capital markets: A review of | zh_TW |
| dc.relation.reference (參考文獻) | theory and empirical work. The Journal of Finance, | zh_TW |
| dc.relation.reference (參考文獻) | 25, 383-417. | zh_TW |
| dc.relation.reference (參考文獻) | 6. Fang, Y., & Xu, D. (2003). The predictability of asset | zh_TW |
| dc.relation.reference (參考文獻) | returns: an approach combing technical analysis and | zh_TW |
| dc.relation.reference (參考文獻) | time series forecasts. International of Forecasting, 19, | zh_TW |
| dc.relation.reference (參考文獻) | 369-385. | zh_TW |
| dc.relation.reference (參考文獻) | 7. Harvey, C. (1995a). The cross-section of volatility and | zh_TW |
| dc.relation.reference (參考文獻) | autocorrelation in emerging markets. Finanzmarkt and | zh_TW |
| dc.relation.reference (參考文獻) | Portfolio Management, 9, 12-34. | zh_TW |
| dc.relation.reference (參考文獻) | 8. Mitchell, R., & Ricardo, L. (1999). Tests of technical | zh_TW |
| dc.relation.reference (參考文獻) | trading strategies in the emerging equity markets of | zh_TW |
| dc.relation.reference (參考文獻) | Latin America and Asia. Journal of Banking & Fianace, | zh_TW |
| dc.relation.reference (參考文獻) | 23, 1887-1905. | zh_TW |
| dc.relation.reference (參考文獻) | 9. Lo, A., & MacKinlay, C. (1990). An econometric analysis | zh_TW |
| dc.relation.reference (參考文獻) | of nonsynchronous-trading. Journal of Econometrics, 45, | zh_TW |
| dc.relation.reference (參考文獻) | 181-212. | zh_TW |