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系統識別號 U0026-0812200915105713
論文名稱(中文) To Forecast Gold Prices based on Historical Prices and Volumes of the Gold Futures Market
論文名稱(英文) To Forecast Gold Prices based on Historical Prices and Volumes of the Gold Futures Market
校院名稱 成功大學
系所名稱(中) 國際經營管理研究所碩士班
系所名稱(英) Institute of International Management (IIMBA--Master)
學年度 97
學期 2
出版年 98
研究生(中文) 潘查德
研究生(英文) Jared Painter
學號 rc695757
學位類別 碩士
語文別 英文
論文頁數 69頁
口試委員 指導教授-李伯岳
口試委員-張紹基
口試委員-許永明
召集委員-許永明
中文關鍵字 macroeconomic  technical analysis  volume  prices  gold 
英文關鍵字 macroeconomic  technical analysis  volume  prices  gold 
學科別分類
中文摘要 None
英文摘要 Gold has been a popular investment for people throughout history and today, it
has been used as currency and a hedge against inflation. It has been recommended
that investors hold between 10% and 25% of their investments in gold depending on
the outlook of the economy. An economical method of investing in gold is to access
the gold futures market. Henceforth this study has attempted to forecast gold prices
based on historical prices and volumes in the gold futures market. As yet quantitative
research has proved inadequate in providing a model to successfully trade or invest in
the gold futures market. An alternative method of approaching this gap in the research
has been provided by this qualitative study.
A comprehensive literature review was conducted that highlighted important
previous research on the gold futures market. This provided the study with a base to
build on. In-depth interviews with experts in the gold futures industry were than used
to provide insight into macroeconomic factors and technical analysis techniques to
help forecast price and volume in the gold futures market. After the in-depth
interviews were documented, over 32 years of price and volume gold futures data was
displayed and analyzed using quantitative methods.
Quantitative analysis in this research area was once again ineffective in
providing guidance to forecast the gold futures market. Technical analysis was then
used to demonstrate its effectiveness in forecasting prices and volumes in the gold
futures market. When used in combination with the in-depth interview findings, and
III
literature review, it was found that the gold futures market could be forecasted
successful, as long as risk management was adopted and a trading plan existed.
The implications for this study are that price and volume in the gold futures
market can be forecasted interpreted using the right techniques as mentioned above. A
quantitative model on its own however will not be effective in forecasting the gold
futures market. Macroeconomic variables in combination with technical analysis and
risk management are the most suitable method to forecast price and volume in the
gold futures market. The technical analysis section of this study can also be used in an
array of financial trading instruments; however fundamentals and macroeconomic
factors will differ greatly from the gold futures market.
論文目次 ACKNOWLEDGEMENTS ........................................................................................ I
ABSTRACT .............................................................................................................. II
TABLE OF CONTENTS ......................................................................................... IV
LIST OF FIGURES ................................................................................................ VII
CHAPTER ONE INTRODUCTION.......................................................................... 1
1.1 Research Background. .................................................................................. 1
1.2 Research Motivation. ................................................................................... 2
1.3 Research Objectives. .................................................................................... 3
1.4 Research Project. .......................................................................................... 3
1.5 Research Structure. ...................................................................................... 4
CHAPTER TWO LITERATURE REVIEW .............................................................. 5
2.1 Definition of Futures Market. ....................................................................... 5
2.2 Gold Futures Market Background................................................................. 6
2.3 Volume. ........................................................................................................ 7
2.4 Price. ............................................................................................................ 8
2.5 The Price and Volume Relationship. ............................................................. 9
2.6 Positive and Negative Market Shocks. ........................................................ 12
2.7 Cyclical. ..................................................................................................... 13
2.8 Sequential or Simultaneous. ....................................................................... 15
2.9 Types of Traders. ........................................................................................ 15
2.10 Trade Timing. ........................................................................................... 18
2.11 Technical Analysis. ................................................................................... 18
CHAPTER THREE RESEARCH DESIGN AND METHODOLOGY ..................... 20
3.1 Introduction................................................................................................ 20
3.2 Data Analysis. ............................................................................................ 21
3.3 Pattern Analysis. ........................................................................................ 21
3.5 In-depth Interviews .................................................................................... 24
CHAPTER FOUR RESEARCH FINDINGS AND RESULTS ................................ 26
4.1 In-Depth Interviews with Industry Experts. ................................................ 26
4.1.1 Design and Operation of In-depth Interviews. .................................. 26
4.1.2 In-Depth Interview of Market Participants. ...................................... 26
4.2 In-Depth Interview Responses. ................................................................... 27
4.2.1 “Respondent 1”- In-Depth Interview. ............................................... 27
4.2.2 “Respondent 2”- In-Depth Interview. ............................................... 29
4.2.3 Summary of Important Information Gathered from the In-Depth
Interviews. ........................................................................................ 30
4.3 Data Analysis. ............................................................................................ 32
4.4 Technical Analysis...................................................................................... 35
4.5 Trading Strategy. ........................................................................................ 38
4.5.1 Literature Review Findings. ............................................................. 38
4.5.2 In-Depth Interview Findings. ........................................................... 40
4.5.3 Data Analysis. .................................................................................. 42
4.5.4 Technical Analysis Trading Strategy. ................................................ 43
CHAPTER FIVE CONCLUSION AND SUGGESTIONS ....................................... 50
5.1 Research Conclusions................................................................................. 50
5.2 Research Suggestions and Discussions. ...................................................... 54
REFERENCES ........................................................................................................ 56
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