博碩士論文 etd-0623112-165852 詳細資訊


[回到前頁查詢結果 | 重新搜尋]

姓名 甘易禮 (Yi-Li Kan) 電子郵件信箱 E-mail 資料不公開
畢業系所 財務管理學系研究所(Finance)
畢業學位 碩士(Master) 畢業時期 100學年第2學期
論文名稱(中) 75法則於股價指數交易策略之應用 
論文名稱(英) The Application of 75 Rule in Stock Index Trading Strategies
檔案
  • etd-0623112-165852.pdf
  • 本電子全文僅授權使用者為學術研究之目的,進行個人非營利性質之檢索、閱讀、列印。
    請遵守中華民國著作權法之相關規定,切勿任意重製、散佈、改作、轉貼、播送,以免觸法。
    論文使用權限

    電子論文:使用者自訂權限:校內 5 年後、校外 5 年後公開

    論文語文/頁數 中文/80
    統計 本論文已被瀏覽 5612 次,被下載 369 次
    摘要(中) 傳統的統計套利策略著重依賴多資產所建構之投資組合其報酬率間呈現長期之下定態的特性,而本篇論文則應用新式75法則與動能效果於單一投資標的物,在極短持有期間內憑藉價差的隨機項具相同獨立分配與定態的特性,獲得樣本外期間累積報酬為正的統計套利策略。
    研究結果顯示一般個體戶投資人應在市場效率性較高的指數市場使用統計套利策略以避免市場條件導致交易模型無法適用。
    本文所回測的對象為法國巴黎指數(CAC40)、美國道瓊指數(DJI)、香港恆生指數(HangSeng)、美國那斯達克工業指數(NASDAQ)、日經225指數(NIKKEI225)、上海綜合指數(Shanghai)及台灣加權指數(TWII)共計七種。本文交易策略回測結果於以上指數均可獲得樣本外累積為正之超額報酬,顯示七種市場均非弱式效率市場。
    摘要(英) Stationarity is an essential property to portfolio return in the past statistical arbitrage strategy, this article uses Neo-75 rule, momentum effect, properties as independent and identically distribution and stationarity in error term, in one asset and in the very short holding period. The result in out sample period owning positive cumulative return.
    The finding suggests individual investors use this strategy in higher efficiency market to avoid invalidation in our model.
    This article surveyed CAC40, DJI, HangSeng, NASDAQ, Nikkei225, Shanghai and TWII indices. All the excess returns in out sample periods indicate they are exclude weak form of efficient market.
    關鍵字(中)
  • 75法則
  • 動能效果
  • 弱式效率市場
  • 定態
  • 統計套利
  • 關鍵字(英)
  • weak form of efficient market
  • momentum effect
  • 75 rule
  • stationarity
  • statistical arbitrage
  • 論文目次 摘要 ii
    Abstract iii
    圖目錄 vi
    表目錄 viii
    第壹章 緒論 1
    第一節 研究背景動機 1
    第二節 研究問題與目的 2
    第貳章 文獻探討 3
    第參章 研究方法 6
    第一節 原始75法則應用於多資產 6
    第二節 新式75法則應用於單一資產 7
    第三節 新式75法則避免中位數缺陷 10
    第四節 新式75法則強化資料即時性 12
    第肆章 實證結果與分析 14
    第一節 交易環境設定 14
    第二節 統計套利策略演算法 15
    第三節 使用估計值修正項( )的理由 18
    第四節 實證結果 20
    第五節 實證結果分析 31
    第六節 交易策略失效分析 33
    第伍章 結論 43
    參考文獻 45
    附錄一 I
    附錄二 III
    附錄三 XVII
    附錄四 XIX
    參考文獻 Andrew Pole(2009). "Statistical Arbitrage," John Wiley & Sons.
    Brock, W., Lakonishock, J., & LeBaron, B. (1992). “Simple technical trading rules and the stochastic properties of stock returns, ” Journal of Finance, 47, 1731–1764.
    Bartov, Eli and Gordon M. Bodnar (1994). “Firm Valuation, Earnings Expectations, and the Exchange-Rate Exposure Effect,” Journal of Finance, 44 (5), 1755 - 1785.
    Chan, Louis K.C., Narasimhan Jegadeesh, and Josef Lakonishok (1996). “Momentum Strategies,” Journal of Finance, “ 51 (5), 1681 - 1713.
    Conrad, Jennifer and Gautam Kaul (1998). “An Anatomy of Trading Strategies,” Review of Financial Studies, 11 (3), 489 - 519.
    Chang, P. H. K., & Osler, C. L. (1999). “Methodical madness: Technical analysis and the irrationality of exchange-rate forecasts, ” Economic Journal, 109, 636–661.
    Cochrane, J. H. (2001). “Asset pricing. Princeton, ” NJ: Princeton University Press.
    Cooper, M., & Gulen, H. (2006). “Is time-series based predictability evident in realtime? ” Journal of Business, 79, 1263–1292.
    Cheol-Ho Park, Scott H. Irwin (2010). “A reality check on technical trading rule profits in the U.S. futures markets,” Journal of Futures Markets, Volume 30, Issue 7, pages 633–659.
    David S. Sun、Shih-Chuan Tsai、Wei Wang (2011). “Examing Behavioral Investment Strategy: A Statistical Arbitrage Approach, ” SFM, 19.
    Denton, F. T. (1985). “Data mining as an industry, ” Review of Economics and Statistics, 67, 124–127.
    Fama, E. F. (1998). “Market efficiency, long-term returns, and behavioral finance, ” Journal of Financial Economics, 49, 283–306.
    G.E.Uhlenbeck and L.S.Ornstein (1930). "On the theory of Brownian Motion", Physical Review.
    Ikenberry, David, Josef Lakonishok, and Theo Vermaelen (1995). “Market Underreaction to Open Market Share Repurchases,” Journal of Financial Economics, 39, 181 - 208.
    Jegadeesh, Narasimhan and Sheridan Titman (1993). “Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency,” Journal of Finance, 48 (1), 65 - 91.
    Jarrow, Robert (1988). “Preferences, Continuity and the Arbitrage Pricing Theory,” Review of Financial Studies, 1 (2), 159 - 172.
    Lo, A., & MacKinlay, A. C. (1990). “Data snooping biases in tests of financial asset pricing models, ” Review of Financial Studies, 3, 431–467.
    Lukac, L. P., & Brorsen, B. W. (1990). “A comprehensive test of futures market disequilibrium, ” Financial Review, 25, 593–622.
    Levich, R. M., & Thomas, L. R. (1993). “The significance of technical trading rule profits in the foreign exchange market: A bootstrap approach, ” Journal of International Money and Finance, 12, 451–474.
    Lakonishok, Josef, Andrei Shleifer, and Robert W. Vishny (1994). “Contrarian Investment, Extrapolation, and Risk,” Journal of Finance, 49 (5), 1541- 1578.
    Loughran, Tim and Jay R. Ritter (1995). “The New Issues Puzzle,” Journal of Finance, 50 (1), 23 - 51.
    Lukac, L. P., Brorsen, B. W., & Irwin, S. H. (1988). “A test of futures market disequilibrium using twelve different technical trading systems, ” Applied Economics, 20, 623–639.
    Michaely, Roni, Richard H. Thaler, and Kent L. Womack (1995). “Price Reactions to Dividend Initiations and Omissions: Overreaction or Drift ?,” Journal of Finance, 50 (2), 573 - 608.
    Malkiel, B. G. (2003). “The efficient market hypothesis and its critics, ” Journal of Economic Perspectives, 17, 59–82.
    Neely, C. J. (2002). “The temporal pattern of trading rule returns and exchange rate intervention: Intervention does not generate technical trading profits, ” Journal of International Economics, 58, 211–232.
    Ross, Stephen (1976). “The Arbitrage Theory of Capital Asset Pricing,” Journal of Economic Theory, 13, 341 - 360.
    Ready, M. J. (2002). “Profits from technical trading rules, ” Financial Management, 31, 43–61.
    Sweeney, R. J. (1986). “Beating the foreign exchange market, ” Journal of Finance, 41, 163–182.
    Silber, W. L. (1994). “Technical trading: When it works and when it doesn’t, ” Journal of Derivatives, 1, 39–44.
    Sullivan, R., Timmermann, A., & White, H. (1999). “Data snooping, technical trading rule performance, and the bootstrap, ” Journal of Finance, 54, 1647–1691.
    Shleifer, Andrei (2000). "Inefficient Markets: An Introduction to Behavioral Finance,” Oxford University Press.
    S. Hogan, R. Jarrow, M. Warachka (2002). "Statistical Arbitrage and Tests of Market Efficiency, "
    William Smith (2010). "On the Simulation and Estimation of the Mean-Reverting Ornstein-Uhlenbeck Process-Especially as Applied to Commodities Markets and Modelling."
    「期交稅調降」之評析,國家政策研究基金會,網址: http://www.npf.org.tw/post/3/9350
    商品合約規格表,統一期貨,http://www.pfcf.com.tw/front/bin/cglist.phtml?Category=100014
    口試委員
  • 郭修仁 - 召集委員
  • 李健強 - 委員
  • 王昭文 - 指導教授
  • 黃振聰 - 指導教授
  • 口試日期 2012-06-12 繳交日期 2012-06-23

    [回到前頁查詢結果 | 重新搜尋]


    如有任何問題請與論文審查小組聯繫