政大機構典藏-National Chengchi University Institutional Repository(NCCUR):Item 140.119/95055

政大機構典藏-National Chengchi University Institutional Repository(NCCUR):Item 140.119/95055

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政大典藏 > College of Commerce > Department of International Business > Theses > Item 140.119/95055

Please use this identifier to cite or link to this item: https://nccur.lib.nccu.edu.tw/handle/140.119/95055

Title:	資料窺探與交易策略之獲利性:以亞洲股票市場為例 Data snooping and the profitability of trading strategies: evidence from the asian stock markets
Authors:	李榮傑 Lee, Chung Chieh
Contributors:	山本竜市李榮傑 Lee, Chung Chieh
Keywords:	交易策略資料窺探技術分析時間序列預測 trading strategy data snooping White`s Reality Check stepwise mutiple test technical analysis time series prediction
Date:	2009
Issue Date:	2016-05-09 14:53:00 (UTC+8)
Abstract:	於這篇論文中，我們運White (2000)的Reality Check與Romano and Wolf (2005)的stepwise multiple test檢測交易策略的獲利性以更正資料窺探的偏誤。不同於先前運用資料窺探法則的研究，我們的研究以技術分析及時間序列預測兩者為依歸來建立交易策略，另外我們探討的市場集中在六個主要的亞洲股票市場。大致上，我們發現鮮少證據支持技術交易策略的獲利性；於基礎分析中且考慮交易成本時，只有少數幾個獲利性交易法則出現於兩個興新市場。另外在子樣本期間中，我們發現獲利性策略的表現並不穩定且這幾年來獲利性有逐漸變弱的趨勢。在進階分析中，我們發現沒有任何交易策略表現優越於基本的買進持有策略。 In this paper, we exam the profitability of trading strategies by using both White’s (2000) Reality Check and Romano and Wolf (2005)s’ stepwise multiple test that correct the data snooping bias. Different from previous studies with the data snooping methodology, our analysis set the universe of forecasts (trading strategies) based on both technical analysis and time series prediction, and the markets which our investigation focuses on are six major Asian stock markets. Overall we find little supportive evidence for the profitability of trading strategies. Our basic analysis shows that there are only few profitable trading strategies detected for two emerging markets while transaction costs are taken into account. Moreover, the performances of the profitable strategies are unstable and the profitability becomes much weaker in the recent years as we find in the sub-periods. In further analysis, we also find that there is no trading strategies in our universe that can outperform the basically buy and hold strategy.
Reference:	Alexander, S. S. (1961). “Price Movements in Speculative Markets: Trends or Ran¬dom Walks.” Industrial Management Review, Vol. 2, pp. 7-26. Bao, Y., T. Lee and B. Saltoglu. (2006) “Evaluating Predictive Performance of Value-at-Risk Models in Emerging Markets: A Reality Check.” Journal of forecast¬ing, Vol. 25, pp. 101-128. Brock, W., J. Lakonishok and B. LeBaron. (1992). “Simple Technical Trading Rules and the Stochastic Properties of Stock Returns.” Journal of Finance, Vol. 47, pp. 1731-1764. Fama, E. F. and K. R. French. (1988). “Permanent and Temporary Components of Stock Prices.” The Journal of Political Economy, Vol. 96, pp. 246-273. Fang, Y. and D. Xu. 2002. “The Predictability of Asset Returns: An Approach Combin¬ing Technical Analysis and Time Series Forecasts”, International Journal of Forecasting, Vol. 19, pp. 369-385. Hansen, P. R. (2005). “A Test for Superior Predictive Ability.” Journal of Business and Economic Statistics, Vol. 23, pp. 365-380. Hsu P. and C. Kuan. (2005). ”Reexamining the Profitability of Technical Analysis with Data Snooping Checks.” Journal of Financial Economics, Vol. 3, pp. 606-628. Kuang, P., M. Schröder and Q. Wang. (2008). “Trading Rules Profitability in the Emerg¬ing FX Market: Danger of Data Snooping.” Proceedings of the 2008 an-nual conference on European Financial Management Association, Athens, Greece, June 25, 2008. Levy, R. A. (1967a). “Relative Strength as a Criterion for Investment Selection.” Jour-nal of Finance, Vol. 22, pp. 595-610. Levy, R. A. (1967b). “Random Walks: Reality of Myth.” Financial Analysts Journal, Vol. 23, pp. 66-77. Liu, K. (2007). “Using Stepwise Multiple Testing to Examine the Performance of Tech¬nical Analyses.” Working paper, Department and Graduate Institute of Finance, Chaoyang University of Technology. Park, C. and S. H. Irwin. (2005). “A Reality Check on Technical Trading Rule Profits in Us Futures Market.” Proceedings of the NCR-134 conference on Applied Com¬modity Price Analysis, Forecasting, and Market Risk Management, No. 19039, St. Louis, Missouri, April 18-19, 2005. Pesaran, M.H. and A. Timmermann. (1994). “Forecasting Stock Returns, An Examina-tion of Stock Market Trading in the Presence of Transaction Costs.” Jour¬nal of Forecasting, Vol. 13, pp. 335-367. Politis, D.N. and J.P. Romano. (1994). “The Stationary Bootstrap.” Journal of Ameri-can Statistical Association, Vol. 89, pp. 1303-1313. Poterba , J. M. and L. H. Summers. (1988). “Mean Reversion in Stock Price: Evi¬dence and Implications.” Journal of Financial Economics, Vol. 22, pp. 27-59. Qi, M., and Y. Wu. (2006). “Technical Trading-Rule Profitability, Data Snooping, and Reality Check: Evidence from the Foreign Exchange Market.” Journal of Money, Credit and Banking, Vol. 30, pp. 2135-2158. Romano, J.P. and M. Wolf. (2005). “Stepwise Multiple Testing as Formalized Data Snooping,” Econometrica, Vol. 73, pp. 1237-1282. Sullivan, R., A. Timmermann and H. White. (1999). “Data-Snooping, Technical Trad-ing Rule Performance, and the Bootstrap.” Journal of Finance, Vol. 54, pp. 1647–1691. Sweeney, R. J. (1988). “Some New Filter Rule Tests: Methods and Results.” Journal of Financial and Quantitative Analysis, Vol. 23, pp. 285-300. Timmermann, A. (2006). “Forecast Combinations.” in Handbook of Economic Forecast¬ing, ed. by G. Elliott, C. W. J. Granger, and A. Timmerman, First Edition, North-Holland, 2006. White, H. (2000). “A Reality Check for Data Snooping.” Econometrica, Vol. 68, pp. 1097-1126.
Description:	碩士國立政治大學國際經營與貿易學系 96351012
Source URI:	http://thesis.lib.nccu.edu.tw/record/#G0096351012
Data Type:	thesis
Appears in Collections:	[Department of International Business] Theses

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