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題名:股價移動平均真有用嗎?
書刊名:管理學報
作者:陳柔君黃敬哲蕭朝興
作者(外文):Chen, Jou-chunHuang, Jin-gzhenChiao, Chaoshin
出版日期:2022
卷期:39:2
頁次:頁235-263
主題關鍵詞:股票價格移動平均Fama-MacBeth迴歸主成份分析法樣本外預測Stock price moving averageFama-MacBeth regressionPrincipal component analysisOut-of-sample forecast
原始連結:連回原系統網址new window
相關次數:
  • 被引用次數被引用次數:期刊(1) 博士論文(0) 專書(0) 專書論文(0)
  • 排除自我引用排除自我引用:0
  • 共同引用共同引用:61
  • 點閱點閱:4
期刊論文
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32.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。  new window
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36.許溪南、何怡滿、劉泰山(20110300)。KD及MACD在避險時機之應用:以臺指期貨避險為例。東吳經濟商學學報,72,109-138。new window  延伸查詢new window
37.Fama, Eugene F.、French, Kenneth R.(2015)。A Five-Factor Asset Pricing Model。Journal of Financial Economics,116(1),1-22。  new window
38.Gunasekarage, Abeyratna、Power, David M.(2001)。The profitability of moving average trading rules in South Asian stock markets。Emerging Markets Review,2(1),17-33。  new window
39.Han, Yufeng、Yang, Ke、Zhou, Guofu(2013)。A new anomaly: The cross-sectional profitability of technical analysis。Journal of Financial and Quantitative Analysis,48(5),1433-1461。  new window
40.柯冠成、蘇湘茹、林信助、朱香蕙(20160600)。技術分析對臺灣波動度及規模效果之影響。管理學報,33(2),281-309。new window  延伸查詢new window
41.Barroso, P.、Santa-Clara, P.(2015)。Momentum Has Its Moments。Journal of Financial Economics,116(1),111-120。  new window
42.Daniel, K.、Moskowitz, T. J.(2016)。Momentum Crashes。Journal of Financial Economics,122(2),221-247。  new window
43.Wang, Kevin Q.、Xu, Jianguo(2015)。Market Volatility and Momentum。Journal of Empirical Finance,30,79-91。  new window
44.Moskowitz, Tobias J.、Ooi, Yao Hua、Pedersen, Lasse Heje(2012)。Time Series Momentum。Journal of Financial Economics,104(2),228-250。  new window
45.McLean, R. David、Pontiff, Jeffrey(2016)。Does academic research destroy stock return predictability?。Journal of Finance,71(1),5-32。  new window
46.Stivers, C.、Sun, L.(2010)。Cross-sectional return dispersion and time variation in value and momentum premiums。Journal of Financial and Quantitative Analysis,45(4),987-1014。  new window
47.Bajgrowicz, P.、Scaillet, O.(2012)。Technical trading revisited: False discoveries, persistence tests, and transaction costs。Journal of Financial Economics,106(3),473-491。  new window
48.Lewellen, J.(2015)。The cross-section of expected stock returns。Critical Finance Review,4(1),1-44。  new window
49.Balsara, N. J.、Chen, G.、Zheng, L.(2007)。The Chinese Stock Market: An Examination of the Random Walk Model and Technical Trading Rules。Quarterly Journal of Business and Economics,46(2),43-63。  new window
50.Carhart, Mark M.(1997)。On persistence in mutual fund performance。The Journal of Finance,52(1),57-82。  new window
51.Bessembinder, Hendrik、Chan, Kalok(1995)。The Profitability of Technical Trading Rules in the Asian Stock Markets。Pacific-Basin Finance Journal,3(2/3),257-284。  new window
52.Fama, Eugene F.、French, Kenneth R.(1993)。Common risk factors in the returns on stocks and bonds。Journal of Financial Economics,33(1),3-56。  new window
53.Stambaugh, R. F.、Yu, J. F.、Yuan, Y.(2015)。Arbitrage asymmetry and the idiosyncratic volatility puzzle。Journal of Finance,70(5),1903-1948。  new window
54.Baker, Malcolm、Wurgler, Jeffrey(2006)。Investor sentiment and the cross-section of stock returns。The Journal of Finance,61(4),1645-1680。  new window
55.Lin, Tse-Chun、Liu, Xin(2018)。Skewness, Individual Investor Preference, and the Cross-section of Stock Returns。Review of Finance,22(5),1841-1876。  new window
56.許溪南、何怡滿、張瓊如(20120100)。KD 與MA 技術指標在避險時機之應用:以臺指選擇權為例。輔仁管理評論,19(1),27-46。new window  延伸查詢new window
57.Fama, Eugene F.(1965)。The Behavior of Stock-Market Prices。Journal of Business,38(1),34-105。  new window
58.樓禎祺、何培基(20031100)。股價移動平均線之理論與實證--以臺灣股市模擬投資操作為例。育達研究叢刊,5/6,27-51。  延伸查詢new window
59.Ackemann, C. A.、Keller, W. E.(1977)。Relative strength does persist!。The Journal of Portfolio Management,4(1),38-45。  new window
60.Anghel, D. G.(2021)。Data Snooping Bias in Tests of the Relative Performance of Multiple Forecasting Models。Journal of Banking & Finance,126,106-113。  new window
61.Batten, J. A.、Lucey, B. M.、McGroarty, F.、Peat, M.、Urquhart, A.(2018)。Does intraday technical trading have predictive power in precious metal markets?。Journal of International Financial Markets, Institutions and Money,,52,102-113。  new window
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63.Detzel, A.、Liu, H.、Strauss, J.、Zhou, G.、Zhu, Y.(2021)。Learning and predictability via technical analysis: Evidence from bitcoin and stocks with hard-to-value fundamentals。Financial Management,50(1),107-137。  new window
64.Fang, J. L.、Jacobsen, B.、Qin, Y. F.(2014)。Predictability of the simple technical trading rules: An out-of-sample test。Review of Financial Economics,23(1),30-45。  new window
65.Asness, Clifford S.、Moskowitz, Tobias J.、Pedersen, Lasse H.(2013)。Value and Momentum Everywhere。Journal of Finance,68(3),929-985。  new window
66.Gulen, Huseyin、Xing, Yuhang、Zhang, Lu(2011)。Value versus Growth: Time-Varying Expected Stock Returns。Financial Management,40(2),381-407。  new window
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68.He, M.、Zhang, Y.、Wen, D.、Wang, Y.(2021)。Forecasting crude oil prices: A scaled PCA approach。Energy Economics,97,105-189。  new window
69.Marshall, B. R.、Nguyen, N. H.、Visaltanachoti, N.(2017)。Time series momentum and moving average trading rules。Quantitative Finance,17(3),405-421。  new window
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會議論文
1.羅仙法、蘇玄啟(2006)。移動平均線交易策略在台灣股票市場之應用。現代財務論壇學術研討會。  延伸查詢new window
研究報告
1.Goh, J.、Jiang, F.、Tu, J.、Zhou, G.(2012)。Forecasting bond risk premia using technical indicators。St. Louis, MO:Washington University。  new window
學位論文
1.李昱翰(2017)。趨勢因子獲利性:以新興市場為例(碩士論文)。國立中興大學。  延伸查詢new window
圖書
1.Lo, A. W.、Hasanhodzic, J.(2009)。The Heretics of Finance: Conversations with Leading Practitioners of Technical Analysis。New York:Bloomberg Press。  new window
2.Murphy, John J.(1999)。Technical analysis of the financial markets: A comprehensive guide to trading methods and applications。Penguin。  new window
3.Chincarini, L. B.、Kim, D.(2006)。Quantitative Equity Portfolio Management: An Active Approach to Portfolio Construction and Management。McGraw-Hill Education。  new window
4.Covel, M. W.(2005)。Trend Following: How Great Traders Make Millions in Up or Down Markets。FT Press。  new window
5.Malkiel, B. G.(1996)。A random walk down wall street: Including a life-cycle guide to personal investing。W. W. Norton & Company。  new window
6.Narang, R. K.(2013)。Inside the Black Box: A Simple Guide to Quantitative and High-Frequency Trading。John Wiley & Sons, Inc。  new window
7.Schwager, J. D.(1993)。Market wizards: Interviews with top traders。John Wiley & Sons, Inc。  new window
 
 
 
 
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