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題名:濾嘴法則與臺灣股票市場弱式效率性
書刊名:國立虎尾技術學院學報
作者:周建新 引用關係于鴻福 引用關係陳正榮
作者(外文):Chou, Jian-hsinYu, Hong-fwuChen, Chen-rong
出版日期:2003
卷期:6
頁次:頁157-167
主題關鍵詞:濾嘴法則效率市場個股股價濾嘴法則Filter rulesMarket efficiencyOwn-stock filter rules
原始連結:連回原系統網址new window
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     本文旨以各種大小的股價變動濾嘴作為交易條件,驗證臺灣股票市場之效率性,檢驗臺灣股票市場在某些交易法則下,投資人是否可以得到超額報酬。本文以臺灣證交所之全部上市股票為研究標的物,以1991年1月迄2000年12月之日資料為觀察對象,在考慮交易成本下,同時比較連續及不連續兩種不同之股票市場進出方式。實證結果發現在不連續交易策略下,個股雙移動平均法則、個股股價嘴參考個股及大盤成交量法則、臺股指數雙移動平均法則、個股股價濾嘴參考個股成交量法則及個股股價濾嘴法則等五個交易法則之操作績效優於買入持有策略;在連續交易策略下,個股雙移動平均法及臺股指數雙移動平均法則之操作績效皆優於買入持有策略。因此,本研究之結果認為,臺灣股票市場並不具備弱式效率性。
     This paper examines the weak-form market efficiency of the Taiwan Stock Market by simulating the trading performance of filter rules, and wants to know whether the investors can earn excess return under some trading rules or not. The sample contains all of the daily stock data between January 1991 to December 2000 trading on the Taiwan Stock Exchange. Considering the transaction cost, we compare both continuous and discontinuous trading strategy. And we find under discontinuous trading strategy, the own-stock dual-moving-average filter rule, the filter rule considering own-stock and all stocks trading volume, the Taiwan Stock Price Index dual-moving-average rule, the filter rule considering own-stock trading volume and own-stock filter rule can outperform the buy-and-hold strategy, and under continuous trading strategies, the own-stock dual-moving-average filter rule and the Taiwan Stock Price Index dual-moving-average outperform the buy-and-hold strategy even after accounting for transaction costs. This evidence indicates that the weak-form efficiency of Taiwan Stock Market does not exist.
期刊論文
1.Huang, Y. S.(1995)。The Trading Performance of Filter Rules on the Taiwan Stock Exchange。Applied Financial Economics,5(6),391-395。  new window
2.Alexander, S. S.(1964)。Price movements in speculative markets: trends or random walks。Industrial Management Review,5(2),25-46。  new window
3.Alexander, S. S.(1961)。Price Movement in Speculative Markets: Trends or Random Walks。Industrial Management Review,2,7-26。  new window
4.Fama, Eugene F.、Blume, Marshall E.(1966)。Filter Rules and Stock Market Trading Profits。The Journal of Business,39(1 Part 2),226-241。  new window
5.Sweeny, R. J.(1988)。Some New Filter Rule Test: Methods and Results。Journal of Financial and Quantitative Analysis,23,285-300。  new window
6.Corrado, C. J.、Lee, S. H.(1992)。Filter Rule Tests of the Economic Significance of Serial Dependencies in Daily Stock Return。Journal of Financial Research,15(4),369-387。  new window
7.Szakmary, Andrew、Davidson, W. N. III、Schwarz, T. V.(1999)。Filter Tests in Nasdaq Stocks。Financial Review,34(1),45-70。  new window
8.Fama, Eugene F.(1970)。Efficient Capital Markets: A Review of Theory and Empirical Work。The Journal of Finance,25(2),383-417。  new window
學位論文
1.林宗永(1989)。技術分析指標獲利性之實證研究(碩士論文)。國立政治大學。  延伸查詢new window
2.陳昇(1985)。濾嘴法則與股票市場效率性檢定(碩士論文)。國立交通大學。  延伸查詢new window
3.徐世豪(1979)。台灣證券市場有效性之研究--過濾法則投資效益之評估(碩士論文)。國立政治大學。  延伸查詢new window
4.李惠宏(1985)。台灣股票市場弱式效率性之實證研究(碩士論文)。國立中山大學。  延伸查詢new window
5.鄭淑貞(1994)。台灣股票市場弱式效率性實證研究--過濾法則之應用(碩士論文)。國立台灣工業技術學院。  延伸查詢new window
6.盧廷當(1996)。以參考成交量之濾嘴法則檢定資本市場弱式效率性--台灣股票市場之實證研究(碩士論文)。國立交通大學。  延伸查詢new window
 
 
 
 
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