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| Title: | 結合策略應用在亞洲股市獲利性之研究
The Profitability of Combined Strategies in the Asian Stock Markets |
| Authors: | 黃友琪
Huang, Yu-Chi |
| Contributors: | 郭維裕
Kuo, Weiyu
黃友琪
Huang, Yu-Chi |
| Keywords: | 技術分析
時間序列模型
非同步交易
Technical Trading Rules
Time Series Models
Non-synchronous Trading |
| Date: | 2006 |
| Issue Date: | 2009-09-18 14:12:48 (UTC+8) |
| Abstract: | 參考Fang 2003年研究方法架構，我們檢驗了結合策略(結合技術分析法則和時間序列模型)應用在六個亞洲股票市場。由於技術分析法則和時間序列模型皆可利用過去歷史資訊來預測報酬，所以結合策略的實證結果優於技術分析法則和時間序列模型。此篇中超額報酬的計算是與買進持有相比較下未考慮交易成本的超額報酬。實證結果顯示，結合策略在完整樣本中可以成功的預測資產報酬，在六個國家的平均上，結合策略的超額報酬為0.19%優於技術交易法則下的0.13%和時間序列模型下的0.17%。並且，發現在新興國家如台灣、泰國、馬來西亞和南韓的預測能力比在已開發國家市場如香港和日本還要來的好。預測能力可被低階的自我相關係數解釋。除此之外，發現我們的預測能力受到非同步交易的影響。非同步交易所造成的衡量誤差使得超額報酬下降，但是我們的預測能力還是存在的。
Following Fang and Xu (2003), we examine trading strategies combining technical trading rules and times series forecasts on six Asian stock markets. Since both technical trading rules and time series models can exploit predictable components as function of past prices or returns, the combined strategies outperform both technical trading rules and time series forecasts. The excess returns before transaction costs for each rule and country are compared to a passive buy-and-hold strategy. The combined strategies are quite successful in predicting asset returns in full samples. On average the buy-sell returns for combined strategies are 0.19% much higher than 0.13% for technical trading rules and 0.17% for time series models. Besides, we also find that all three rules have more explanatory power in emerging markets such as Taiwan, Thailand, Malaysia and Korea than more developed markets such as Japan and Hong Kong. The predictability can be explained by significant low-order autocorrelations in returns. Moreover, excess returns (pre-trading costs) for both time series models and combined strategies can be partially attributed to the measurement errors arising from non-synchronous trading. The non-synchronous trading bias reduces but does not eliminate the predictive power of combined strategies. |
| Reference: | 1. Bessembinderk, H., & Chan, K. (1995). The profitability
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of nonsynchronous-trading. Journal of Econometrics, 45,
181-212. |
| Description: | 碩士
國立政治大學
國際經營與貿易研究所
94351008
95 |
| Source URI: | http://thesis.lib.nccu.edu.tw/record/#G0094351008 |
| Data Type: | thesis |
| Appears in Collections: | [國際經營與貿易學系 ] 學位論文
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