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系統識別號 U0026-2108201800271800
論文名稱(中文) 技術分析在商品期貨市場獲利能力-以MACD、KD、SAR為例
論文名稱(英文) Technical Analysis Trading Profitability in Commodity Futures Market: The Case of MACD, KD and SAR
校院名稱 成功大學
系所名稱(中) 經濟學系
系所名稱(英) Department of Economics
學年度 106
學期 2
出版年 107
研究生(中文) 吳睿萍
研究生(英文) Jui-Ping Wu
學號 U56051099
學位類別 碩士
語文別 中文
論文頁數 90頁
口試委員 指導教授-陳奕奇
共同指導教授-呂宗勳
口試委員-蔡群立
中文關鍵字 技術分析  期貨市場  Step-SPA檢定 
英文關鍵字 Technical Analysis  Futures Markets  Step-SPA Test 
學科別分類
中文摘要 技術分析在金融市場是否具有獲利能力是學術界關注的議題,對技術交易策略有效性的調查需要對換月處理、易規則參數的各種組合以及穩健性檢查進行仔細分析。本研究調查期貨市場商品期貨的技術分析獲利能力,並以技術指標MACD、KD和SAR指標分析,透過使用Hsu, Hsu and Kuan (2010) 的逐步卓越檢定法 (Stepwise Superior Predictive Ability, Step-SPA) 以及考量交易成本。根據三種資料處理方式和穩健性分析後,我們的結果發現技術分析指標在商品期貨市場有獲利能力。
英文摘要 It has been the subject of intense debate among academics and financial professionals on whether technical analysis could able to possess profitability in financial markets. However, investigations on the effectiveness of technical trading strategies requires careful treatment on rollover, various combinations of parameters of trading rules, and robustness checks.In this thesis, we shed some light on the profitability of technical analysis with respect to specific technical trading rules, such as MACD, KD and SAR, in the commodity futures markets. The predictive power for these markets is then evaluated by the Stepwise Superior Predictive Ability Test proposed by Hsu, Hsu and Kuan (2010). After dealing with three futures data processing methods, we show that the some technical trading rules have significant predictive power in commodity futures markets, and the the results are robust to considering transaction costs, and data snooping bias.
論文目次 摘要......i
Extended Abstract......ii
誌謝......vii
目錄......viii
表目錄......x
圖目錄......xi
第一章 緒論......1
第一節 研究動機及背景......1
第二節 研究目的......3
第三節 研究貢獻......5
第二章 文獻探討......8
第一節 效率市場相關文獻......8
第二節 技術分析相關文獻......10
第三節 期貨資料處理相關文獻......17
第三章 研究方法......19
第一節 資料說明......21
一、 資料介紹......21
二、 資料分割......25
三、 換月方法......31
四、 交易成本......32
第二節 技術分析指標......33
一、 KD指標......33
二、 MACD指標......35
三、 SAR指標......36
第三節 統計檢定......39
一、 t檢定......39
二、 偏態調整t檢定......39
三、 Step-SPA檢定......40
第四章 研究結果......44
第一節 敘述統計......44
第二節 結果分析......51
第三節 資料分割分析......67
第五章 結論與建議......81
第一節 結論......81
第二節 建議......82
參考文獻......83
附錄......89
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