博碩士論文 994308021 完整後設資料紀錄

DC 欄位 語言
DC.contributor財務金融學系在職專班zh_TW
DC.creator游嘉炘zh_TW
DC.creatorChia-hsin Yuen_US
dc.date.accessioned2012-6-20T07:39:07Z
dc.date.available2012-6-20T07:39:07Z
dc.date.issued2012
dc.identifier.urihttp://ir.lib.ncu.edu.tw:88/thesis/view_etd.asp?URN=994308021
dc.contributor.department財務金融學系在職專班zh_TW
DC.description國立中央大學zh_TW
DC.descriptionNational Central Universityen_US
dc.description.abstract本文旨在探討台灣指數期貨市場價格變動與交易量的關係,進而設計以交易量做為交易策略的指標。研究期間為2005年1月到2010年12月,以台灣指數期貨市場日內高頻率資料進行實證分析。實證內容包括二部分,首先,應用事件研究法作累積平均異常報酬實證分析。之後,將投資策略設計,分為順勢交易策略及逆勢交易策略兩種。實證結果發現,在不考慮交易成本時,順勢投資策略,一分鐘資料頻率的平均報酬率顯著為正。逆勢投資策略,五分鐘資料頻率的平均報酬率顯著為正。但加入交易成本後,平均報酬率全部為負。 zh_TW
dc.description.abstractThis study investigates the relation of price and volume in TAIEX futures market and find the trading strategy based on it. Using the high frequency data of TAIEX futures from January 2005 through December 2010, we first investigate the abnormal returns of TAIEX futures over the period of given events; and then form the momentum and contrarian trading strategies. Our empirical results show the significant profits from momentum strategy constructed with the 1-minute frequency trading data and contrarian strategy constructed with the 5-minutes frequency trading data. However, no significant profit from both strategies after considering the transaction costs. en_US
DC.subject交易策略zh_TW
DC.subject交易量zh_TW
DC.subject期貨市場zh_TW
DC.subjecttrading strategyen_US
DC.subjecttrading volumeen_US
DC.subjectfuture marketen_US
DC.title台灣期貨市場之量價交易策略zh_TW
dc.language.isozh-TWzh-TW
DC.titlePrice and Volume strategy of TAIEX futures marketen_US
DC.type博碩士論文zh_TW
DC.typethesisen_US
DC.publisherNational Central Universityen_US

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