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    Please use this identifier to cite or link to this item: https://nccur.lib.nccu.edu.tw/handle/140.119/30064


    Title: Market Efficiency of Taiwan Index Futures Market
    台灣指數期貨市場效率性-濾嘴法則之研究
    Authors: 徐仕尚
    Hsu,Shih Shang
    Contributors: 郭維裕
    徐仕尚
    Hsu,Shih Shang
    Keywords: 台灣指數期貨
    未平倉量
    濾嘴法則
    Taiwan Index Futures Market
    Filter rules
    momentum
    open interest
    Rollover
    Date: 2003
    Issue Date: 2009-09-11 17:09:24 (UTC+8)
    Abstract: 本文採用1998年九月2日到2003九月30日的台灣指數期貨每日收盤價，總共1304筆資料。我們希望能藉由濾嘴法則以收盤價及交易量和未平倉量來衡量台灣指數期貨的效率性。而實證結果也證實可以藉由濾嘴法則濾除掉市場上的小波動，並進而預測出主要的價格趨勢。
    This thesis adopts futures data, which are the daily closing prices of the Taiwan Stock Exchange Capitalization Weighted Stock Index futures contracts. The sample period is from September 2, 1998 to September 30, 2003, a total of 1304 transaction days. The goal we want to achieve is to test and verify the momentum by filter rules based on price and volume in the futures market in Taiwan. In addition, the open interest is substituted for the trading volume to exam its effect on the futures price. The empirical results show that we can predict the price trend as long as we employ an appropriate range value to filter out “the noise”.
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    Description: 碩士
    國立政治大學
    國際經營與貿易研究所
    91351015
    92
    Source URI: http://thesis.lib.nccu.edu.tw/record/#G0913510151
    Data Type: thesis
    Appears in Collections:[Department of International Business] Theses

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