非同步報導與斷頭機制對技術分析之影響

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姓名

黃恩慈(En-Tzu Huang) 查詢紙本館藏

畢業系所

財務金融學系

論文名稱

非同步報導與斷頭機制對技術分析之影響
(The effect of nonsynchronous reporting and liquidation mechanism on technical analysis)

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摘要(中)

本文將技術分析加入「非同步報導」和「清算機制」兩項因素，以檢驗交易規則在現實中是否有效。為了反映現實情況，本文不會在交易訊號觸發時立即執行交易，而是以開盤價將交易推遲至下一個交易日；同時，也在技術分析中增加了清算機制。結果表明，在現實世界中技術分析很難有好的獲利能力，可以擊敗買進持有策略的樣本比例並不高，此外，技術分析和買進持有策略的報酬之間的差異明顯隨著非同步報導和清算機制加入而縮小。結果證明，當我們無法立即執行交易並受限於清算機制時，技術分析的有效性減弱。
關鍵字：技術分析；非同步報導；斷頭機制

摘要(英)

This thesis takes the effect of “nonsynchronous reporting” and “liquidation mechanism” into the technical analysis to examine whether the trading rules work or not in reality. In order to reflect reality, this thesis does not execute the trading instantly when the indicator triggers but postpone the trading to the next trading day at an opening price. Besides, this thesis adds the liquidation mechanism into technical analysis. The result states that generating the profitability of trading rules in the real world is difficult. The proportion of samples which can beat the B&H strategy significantly is not high. Besides, the difference between the overall returns of technical and the B&H strategy narrows down obviously with the nonsynchronous reporting and liquidation mechanism. The result proves that the effectiveness of technical analysis weakens when I cannot execute the trading immediately and are restricted to the liquidation mechanism.
Keyword: Technical analysis; Nonsynchronous reporting; Liquidation mechanism

關鍵字(中)

★ 技術分析
★ 非同步報導
★ 斷頭機制

關鍵字(英)

★ Technical analysis
★ Nonsynchronous reporting
★ Liquidation mechanism

論文目次

Contents
摘要 i
Abstract ii
Contents iii
List of table iv
List of figure v
1. Introduction 1
2. Literature review 5
3. Data 8
4. Methodology 9
I. Trading rules 12
II. Trading strategies and the evaluation of the return 13
III. The process of generating the indicator 16
5. Hypotheses 19
6. Empirical Result 22
I. Nonsynchronous reporting 24
II. The liquidation mechanism 29
III. Additional test 33
7. Conclusion 35
Reference 37
Appendix 41
I. Trading combinations 41

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指導教授

賴弘能(Hung-Neng Lai)

審核日期

2020-7-10

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