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外文摘要
引文資料
題名:
技術交易策略在外匯市場無往不利?
書刊名:
臺灣經濟預測與政策
作者:
莊珮玲
/
林信助
/
郭炳伸
作者(外文):
Chuang, Pei-ling
/
Lin, Shinn-juh
/
Kuo, Biing-shen
出版日期:
2011
卷期:
41:2
頁次:
頁95-126
主題關鍵詞:
技術分析
;
日內交易
;
資料窺視偏誤
;
Technical analysis
;
Intraday trading
;
Data snooping bias
原始連結:
連回原系統網址
相關次數:
被引用次數:期刊(
2
) 博士論文(0) 專書(0) 專書論文(0)
排除自我引用:
2
共同引用:0
點閱:27
本文主要針對新臺幣兌換美元的外匯匯率, 採用有效排除資料窺視偏誤的Superior Predictive Ability檢定來探究技術交易策略運用於臺灣匯市時 , 是否具有日內交易表現較好, 且隨著決策時間愈短表現愈佳之特性 ;並藉此驗證為何在現實生活中, 投資人會隨著決策時間的縮短而使用更高比例的技術交易法則。我們的實證結果顯示:在現有資料長度限制下 , 技術交易策略於新臺幣/美元外匯市場上的日間交易, 具有十分顯著的獲利能力;反之, 在日內交易方面, 不管資料頻率為何 (30分鐘、15分鐘、10分鐘、或5分鐘), 皆不存在任何顯著的獲利性。整體而言, 在臺灣的外匯市場中, 我們沒有找到隨決策時間愈短, 技術交易策略表現愈佳的證據。透過進一步的分析, 我們發現兩個有趣的結果:第一、技術交易策略在日間交易與日內交易的獲利能力差異與匯價走勢的變化程度有關。第二、移動平均法則適用在馬可夫轉換模型的環境中。因此, 在投資標的物價格可以由馬可夫轉換模型配適良好的前提下, 投資人採用移動平均法則來從事投資決策應能有不錯的獲利表現。
以文找文
This paper investigates whether technical trading rules, when applied to Taiwan’s foreign exchange market, perform better in intraday trading and gain better performance as the intraday decision horizon is shortened. To avoid data snooping bias, we adopt the Superior Predictive Ability (SPA) test to obtain robust results. Our empirical results show that technical trading rules enjoy significant profitability for the daily trading in the NTD/USD exchange rate market. In contrast, when applied to intraday data at various frequencies, none of the technical trading rules wetest are significantly profitable. Overall, on Taiwan’s FX market, we did not find evidence that technical trading rules are more profitable with a shorter time horizon. Further analyses lead to two interesting findings. First of all, differential performance of technical trading rules in daily trading versus intraday trading is related to the magnitudes of price-changes of foreign exchange rates. Second, the essence of the moving average trading rule can be captured by a Markov switching model. The implication is that, if the targeted as set prices could be better fitted by a Markov switching model, traders may obtain decent profitability by adopting the moving average trading rule in their investment strategy.
以文找文
期刊論文
1.
Kavajecz, K.、Odder-White, E.(2004)。Technical Analysis and Liquidity Provision。The Review of Financial Studies,17(4),1043-1071。
2.
Lui, Yu-Hon、Mole, D.(1998)。The Use of Fundamental and Technical Analyses by Foreign Exchange Dealers: Hong Kong Evidence。Journal of International Money and Finance,17,535-545。
3.
Lakonishok, Josef、Smidt, Seymour(1988)。Are seasonal anomalies real? A ninety-year perspective。The Review of Financial Studies,1(4),403-425。
4.
Lo, Andrew W.、MacKinlay, A. Craig(1990)。Data-snooping biases in tests of financial asset pricing models。Review of Financial Studies,3(3),431-468。
5.
Gencay, R.(1998)。The Predictability of Security Returns with Simple Technical Trading Rules。Journal of Empirical Finance,5,347-359。
6.
Neely, Christopher J.、Weller, Paul A.、Dittmar, Rob(1997)。Is Technical Analysis in the Foreign Exchange Market Profitable? A Genetic Programming Approach。Journal of Financial and Quantitative Analysis,32(4),405-426。
7.
Chan, L. K. C.、Karceski, J.、Lakonishok, J.(1998)。The Risk and Return from Factors。Journal of Financial and Quantitative Analysis,33,159-188。
8.
LeBaron, B.(1999)。Technical Trading Rule Profitability and Foreign Exchange Intervention。Journal of International Economics,49(1),125-143。
9.
Brock, William、Lakonishok, Josef、LeBaron, Blake(1992)。Simple Technical Trading Rules and the Stochastic Properties of Stock Returns。The Journal of Finance,47(5),1731-1764。
10.
Hansen, P. R.(2005)。A Test for Superior Predictive Ability。Journal of Business and Economic Statistics,23(4),365-380。
11.
Hsu, P. H.、Kuan, C. M.(2005)。Reexamining the Profitability of Technical Analysis with Data Snooping Checks。Journal of Financial Econometrics,3(4),606-628。
12.
Sullivan, R.、Timmermann, A.、White, H.(1999)。Data-snooping, Technical Trading Rule Performance, and the Bootstrap。Journal of Finance,54(5),1647-1691。
13.
Rouwenhorst, K. Geert(1999)。Local Return Factors and Turnover in Emerging Stock Markets。The Journal of Finance,54(4),1439-1464。
14.
MacKinnon, James G.、Davidson, Russell(1981)。Several Tests for Model Specification in the Presence of Alternative Hypotheses。Econometrica,49(3),781-793。
15.
Chan, Louis K. C.、Jegadeesh, Narasimhan、Lakonishok, Josef(1996)。Momentum Strategies。Journal of Finance,51(5),1681-1713。
16.
Fama, Eugene F.(1970)。Efficient Capital Markets: A Review of Theory and Empirical Work。The Journal of Finance,25(2),383-417。
17.
Lakonishok, Josef、Shleifer, Andrei、Vishny, Robert W.(1994)。Contrarian Investment, Extrapolation, and Risk。Journal of Finance,49(5),1541-1578。
18.
Allen, H.、M. P. Taylor(1992)。The Use of Technical Analysis in the Foreign Exchange Market。Journal of International Money and Finance,113,301-314。
19.
Curcio, R.、Goodhart, C.、Guillaume, D.、Payne, R.(1997)。Do Technical Trading Rules Generate Profits? Conclusions from the Intra-Day Foreign Exchange Market。International Journal of Finance and Economics,2,267-280。
20.
Neely, C. J.、P. A. Weller(2003)。Intraday Technical Trading in the Foreign Exchange Market。Journal of International Money and Finance,22(2),223-237。
21.
Dempster, M. A. H.、Jones, C. M.(2002)。Can Channel Pattern Trading Be Profitably Automated?。The European Journal of Finance,8,275-301。
22.
Marshall, B. R.、R. H. Cahan、J. M. Cahan(2008)。Does Intraday Technical Analysis in the U.S. Equity Market Have Value?。Journal of Empirical Finance,15,199-210。
23.
Neely, C. J.(1997)。Technical Analysis in the Foreign Exchange Market: A Layman’s Guide。Federal Reserve Bank of St. Louis Review,79(5),23-38。
24.
Oberlechner, T.(2001)。Importance of Technical and Fundamental Analysis in the European Foreign Exchange Market。International Journal of Finance and Economics,6,81-93。
25.
Okunev, J.、D. White(2003)。Do Momentum-Dased Strategies Still Work in Foreign Currency Markets?。Journal of Financial and Quantitative Analysis,38,425-447。
26.
Osler, C.(2000)。Support for Resistance: Technical Analysis and Intraday Exchange Rates。Federal Reserve Bank of New York Economic Policy Review,6(2),53-68。
27.
Osler, C.(2003)。Currency Orders and Exchange Rate Dynamics: An Explanation for the Predictive Success of Technical Analysis。Journal of Finance,58,1791-1820。
28.
Qi, M.、Wu, Y.(2006)。Technical Trading-Rule Profitability, Data Snopping, and Reality Check: Evidence from the Foreign Exchange Market。Journal of Money, Credit and Banking,38,2135-2158。
29.
Levich, R. M.、Thomas, L. R.(1993)。The Significance of Technical Trading-Rule Profits in the Foreign Exchange Markets: A Bootstrap Approach。Journal of International Money and Finance,12(5),451-474。
30.
Schulmeister, S.(2009)。Profitability of Technical Stock Trading: Has It Moved from Daily to Intraday Data?。Review of Financial Economics,18(4),190-201。
31.
White, H.(2000)。Reality Check for Data Snooping。Econometrica,68,1097-1126。
圖書
1.
Box, G. E. P.、Jenkins, G. M.、Reinsel, G. C.(1976)。Time Series Analysis: Forecasting and Control。San Francisco:Holden-Day。
2.
Pring, M. J.(1985)。Technical Analysis Explained: The Successful Investor’s Guide to Spotting Investment Trends and Turning Points。New York。
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