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系統識別號 U0026-1806201221161500
論文名稱(中文) 單根K線的預測能力:以台灣股市為例
論文名稱(英文) The Predictive Power of Single-Line Patterns of Candlestick Charting: Evidence from the Taiwan Stock Market
校院名稱 成功大學
系所名稱(中) 企業管理學系碩博士班
系所名稱(英) Department of Business Administration
學年度 100
學期 2
出版年 101
研究生(中文) 呂宗勳
研究生(英文) Tsung-Hsun Lu
學號 R48951070
學位類別 博士
語文別 英文
論文頁數 75頁
口試委員 指導教授-許永明
指導教授-劉宗其
口試委員-康信鴻
口試委員-張紹基
召集委員-黃鴻禧
口試委員-周百隆
口試委員-余祖慰
中文關鍵字 技術分析  K線型態  拔靴法  台灣股市 
英文關鍵字 Technical analysis  Candlestick patterns  Bootstrap methodology  Taiwan stock market 
學科別分類
中文摘要 K線技術分析是一種歷史悠久的交易技巧,它利用開盤價、最高價、最低價與收盤價來追蹤短期價格的變動。本文的目的是以台灣加權指數151支成份股,1992年1月2日到2009年12月31日的日資料為樣本來檢驗K線交易策略的預測能力。最主要的貢獻是本文使用一個系統化的檢驗方式-四價分析法,這方法可以將單根K線完整地分類。這個方法也解除了過去對K線型態認定上的限制。另外,我們不只考慮了交易成本與風險,也用了數種適當的方法來解決資料探勘的問題,包括拔靴法以及切割樣本和樣本外檢驗。本文的結論發現,在扣除交易成本後,有四種單根K線確實在台灣股市具有獲利能力,其中包含一個買進訊號與三個賣出訊號。
英文摘要 Candlestick technical analysis is an old trading technique that tracks the short-term price movements by employing the relationship between open, high, low, and close prices. The purpose of this thesis is to examine the predictive power of candlestick trading strategies by using the Taiwan 151 component stocks daily data for the period from 2 January 1992 to 31 December 2009. The main contribution of this thesis is using a four-price-level approach to categorize the single-line patterns constructed by candlestick charting in a systematical manner. The approach adopted in this thesis permits us to release for the limitation of recognition in a manner not previously possible. Moreover, we not only consider transaction costs and risk but also mitigate data-snooping problems conscientiously by several appropriate methods, including the bootstrap methodology and sub-sample and out-of-sample tests. We find evidence that four patterns are profitable for the Taiwan stock market after transaction costs, including one bullish pattern and three bearish ones.
論文目次 Contents
中文摘要 I
Abstract II
誌謝 III
Contents IV
List of Tables VI
List of Figures VII
Chapter 1 Introduction 1
1.1 Motivation 1
1.2 Purpose 7
1.3 Main Contributions 9
1.4 Research Framework 10
Chapter 2 Literature Review 12
2.1 Technical Analysis 13
2.2 Candlestick Charting 18
Chapter 3 Theory and Methodology 24
3.1 Related Theories 24
3.1.1 Principle of Supply and Demand 24
3.1.2 Principle of Behavioral Finance 26
3.2 Related Methodologies 29
3.2.1. Skewness Adjusted t-statistic 29
3.2.2. Out-of-sample Test 29
3.2.3. Bootstrap Methodology 31
Chapter 4 Data and Research Design 33
4.1 Data 33
4.2 Research Design 36
4.2.1 Categorizing Patterns 37
4.2.2 Identifying Trends 41
4.2.3 Calculating Profits 42
4.3 Treatment of Transaction Costs and Risk 43
Chapter 5 Empirical Results 45
5.1 In-sample Results 45
5.2 Bootstrap Results 53
5.3 Out-of-sample Results 56
5.4 Sensitivity Analysis 58
Chapter 6 Conclusion 60
References 64
Appendix: The 151 Sampling Stocks 71
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