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題名:指數期貨、交易量及技術分析研究--市場微結構觀點
作者:許智翔
作者(外文):Chih-Hsiang Hsu
校院名稱:國立臺灣大學
系所名稱:國際企業學研究所
指導教授:巫和懋
學位類別:博士
出版日期:2007
主題關鍵詞:指數期貨交易量技術分析市場微結構Index futuresTrading volumeTechnical AnalysisMarket Microstructure
原始連結:連回原系統網址new window
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第3章中,我們試著利用理論的市場微結構模型去證明資訊揭露以及個股期貨與指數期貨引入後對市場效率性的影響,我們分析了各個相關市場中造市者的學習行為,主要有三個發現:第一,個股期貨與指數期貨市場的引入加速了資訊揭露的速度並改善了市場的效率性;第二,指數期貨的引入將使得成分股內其他股票的價格變得具有訊息意涵,而市場上所能蒐集訊息的管道也會變多;第三,指數期貨的引入所帶來的影響是否大於個股期貨,取決於各市場遭受流動性衝擊的可能性。
第4章探討當不確定性來自資訊精確度時,投資人所認知的資訊精確度及交易密度成為內生,並且與所接受到的訊號有關,我們在隨機資訊精確度的情況下,研究內生交易密度對價格及交易量造成的衝擊。本文指出在資訊精確度不確定的情況下,價格反應函數具有非線性及非單調性;此外,由於交易量不只與價格改變有關,也會受到投資人認知的資訊精確度的影響,這導致價格改變與交易量之間存在著模糊不定的關係。我們更進一步研究交易量所扮演的資訊角色,我們發現在某些情況下,交易量可能可以提供價格所沒有包含到的資訊,因此,透過同時觀察價格與交易量,投資者可以更準確預測資產的真實價值,而這同時也證明了技術分析是有用的。
第5章我們考慮當市場上流動性交易者的比例不確定的環境下,探討交易量所具有的資訊意涵,同時也進一步檢驗技術分析的有效性。研究發現,透過同時觀察價格與交易量可以推論出內部交易者比例及私有訊息的真實値,作為爾後資產配置的參考及資產訂價的依據。本文也探討了技術分析的有效性及其應用,在我們的模型中發現,技術分析的效用是恆正的,也就是說技術分析是有效的,尤其是對於波動率較大的資產,技術分析顯得格外重要。同時,在技術分析的應用上,由於在本文中,價格往往有反應不足的現象,我們建議交易者應該順著價格改變方向交易,而交易的強度也跟交易量有關,交易量越大則交易的強度應該越高。
Chapter 3 discusses the informational role of the prices of futures and index futures. We find that the introduction of both futures and index futures improve market efficiency because their prices reveals some information which is not contained in the stock prices. Moreover, the introduction of index futures sometimes has improvement because it makes some prices of stocks with dependent fundamental values become correlated.
Chapter 4 and 5 investigate the informational role of trading volumes and technical analysis. Our theoretical models show that volume can provide additional information which prices cannot reveal. Also, the information provided by trading volumes is useful for technical analysts and improves their expected utilities.
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