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題名:臺灣觀光類股投資策略
書刊名:觀光與休閒管理期刊
作者:練有為鄭素珍 引用關係
作者(外文):Lan, Yu-weiCheng, Su-jan
出版日期:2014
卷期:2:1
頁次:頁44-58
主題關鍵詞:借券放空程式交易Granger因果檢定效率市場Short sellingProgram tradingGranger casualty testEfficient market
原始連結:連回原系統網址new window
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  • 點閱點閱:7
20世紀上半葉技術分析是金融操作的顯學,然而在日益式微的今天,政府為擴大經貿國際化,自2007年起放寬陸客來臺管道,也牽動臺灣醫美市場,此舉是否有助於臺灣醫美證券市場效率的提升?本文即納入更多資訊採實驗設計證實技術分析的操作是可以獲利。本研究實證結果發現:第一階段(2006.9.1-2011.12.8)中天在最佳化之模擬下獲利是16.35元,然而一旦將此最佳化之模擬參數延續代用至第二階段(2006.9.1-2013.12.8)獲利增加至19.75元。同樣的,東洋在第一階段在最佳化之模擬下獲利是20.8元,第二階段獲利增加至22.3元。惟佳醫和杏輝在最佳化之模擬下獲利分別是19.4元和5.85元,然而一旦將此最佳化之模擬參數延續代用至第二階段則獲利並未增加。說明若慎選廠商,此一參數背後所代表的操作策略仍是有利可圖的。實證結果顯示:技術分析仍然可以在市場獲利,也證明我國部分證券市場在2006年至2013年,仍不符合弱勢效率市場的條件。
Technical analysis of financial operation, which prospers through the first half of the 20th century, seems out of date today. In order to increase the scale of FOI, Taiwan relaxes the regulation on mainland China tourists in 2007. Cosmetic medicine market of Taiwan is expanding gradually. Whether the market efficiency is improving or not is the aim of this study. We adopt an experimental design to exam these models which contains more information and find supporting evidence for the technical analysis. Adopting Program Trading, this study tries to investigate whether or not Taiwan's QDII with the information of securities lending to QFII can improve their performance in Taiwan's futures market during 2004-2011. The empirical evidence shows that following the past model which is with the informed information of securities lending to QFII is critical to QDII's operation to make profit. It indicates that Taiwan futures market does not fulfill the conditions of strong-form efficient market during the financial crisis.
期刊論文
1.Neal, Robert. A.(1996)。Direct tests of index arbitrage models。Journal of Financial & Quantitative Analysis,31(4),541-562。  new window
2.Fama, E. F.(1965)。The behaviour of stock market prices。Journal of Business,38(1),34-105。  new window
3.Kempf, A.(1998)。Short Selling, Unwinding and Mispricing。Journal of Futures Markets,18(8),903-923。  new window
4.Fung, J. K. W.、Draper, P.(1999)。Mispricing of Index Futures Contracts and Short Sales Constraints。The Journal of Futures Markets,19(6),695-715。  new window
5.Granger, C. W. J.(1969)。Investigating causal relations by econometric model and cross-spectral methods。Econometrica,37(3),24-36。  new window
6.Granger, C. W. J.(1988)。Some Recent Development in the Concept of Causality。Journal of Econometrics,39(1/2),199-211。  new window
7.Chang, K. P.、Ting, K. S.(2000)。A Variance Ratio Test of the Random Walk Hypothesis for Taiwan's Stock Market。Applied Financial Economics,10(5),525-532。  new window
8.Grieb, T.、Reyes, M. G.(1999)。Random Walk Tests for Latin American Equity Indexes and Individual Firms。Journal of Financial Research,22(4),371-383。  new window
9.Li, X.、Zu, J.(2002)。A note on New Zealand Stock Market efficiency。Applied Economics Letters,9(13),879-883。  new window
10.Macey, J. R.、Mitchell, M.、Netter, J.(1989)。Restrictions on Short Sales: An Analysis of the Uptick Rule and its Role in View of the October 1987 Stock Market Crash。Cornell Law Review,74,797-835。  new window
11.MacKinlay, C.、Ramaswamy, K.(1988)。Program Trading and the Behavior of Stock Index Futures Prices。Review of Financial Studies,1,137-158。  new window
12.Pope, P. F.、Yadav, P. K.(1994)。The Impact of Short Sales Constraints on Stock Index Futures Prices: Evidence from FT-SE 100 Future。Journal of Derivatives,1(4),15-26。  new window
13.Fama, Eugene F.(1970)。Efficient Capital Markets: A Review of Theory and Empirical Work。The Journal of Finance,25(2),383-417。  new window
研究報告
1.Boehmer, E.、Jones, C. M.、Zhang, X.(2009)。Shackling the Short Sellers: The 2008 Shorting Ban。  new window
2.Chung, Y. P.、Kang, J. K.、Rhee, S. G.(1994)。Index Futures Arbitrage in Japan。  new window
3.Shkilko, A.、Van Ness, B.、Van Ness, R.(2011)。Aggressive Short Selling and Price Reversals。  new window
圖書
1.Ap Gwilym, O.、Sutcliffe, C.(1999)。High-Frequency Financial Data。London, UK:Rick Publications。  new window
 
 
 
 
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