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    题名: 外匯市場的技術分析與央行干預
    Technical trading rules in the exchange rate markets and central bank intervention
    作者: 吳至剛
    贡献者: 山本竜市
    吳至剛
    关键词: 技術分析
    央行干預
    資料窺視
    technical analysis
    central bank intervention
    data snooping
    White`s reality check
    日期: 2009
    上传时间: 2016-05-09 14:53:08 (UTC+8)
    摘要: 在這篇文章裡我們採用了White所提出的真實檢驗法(Reality Check)來解決探勘資料偏誤(Data-snooping bias)的問題，結果顯示從1980年到2008年間，技術分析法則的確可以幫助投資人在日圓兌美元及英鎊兌美元這兩個外匯市場獲利；我們也發現在外匯市場最普遍的技術分析方式─移動平均法(moving average)表現不如其他的技術分析法則，而通道突破法(channel break-out)的表現則明顯優於其他技術分析法則。

    除了檢驗技術分析方法的獲利性之外，我們也嘗試著探討技術分析方法的獲利性與央行干預之間的關係，追隨Szacmary與Mathur在1997年所發表的論文，我們把技術分析法則擴充為在真實檢驗法中所使用到的所有法則，並且盡可能加長分析的期間。結果顯示技術分析法則的獲利與央行干預並不存在任何特定的關係。
    In this paper we construct a huge universe of simple trading rules and apply White’s Reality Check to mitigate data-snooping bias then detect the profitability of technical trading rules. We find that technical analysis is useful no matter in the full sample time or each subsample period. The channel break-out method outperforms the other methods in our finding while the profitability of the most commonly used moving average method is worse than the others. Furthermore, we inspect the relationships between the returns of technical trading rules and central bank intervention. The results suggest that there’s no evident relationship between the return series of trading rules and central bank intervention and are not consistent with the view of our following previous study.
    參考文獻: Brock, W., J. Lakonishok, and B. LeBaron , 1992, Simple Technical Trading Rules and
    The Stochastic Properties of Stock Returns, Journal of Finance, 47, 1731–1764.

    Politis, D. N. and J. P. Romano, 1994, The Stationary Bootstrap, Journal of the
    American Statistical Association , 89, 1303–1313.

    Sullivan, R., A. Timmermann, and H.White, 1999, Data-Snooping, Technical Trading Rule Performance, and the Bootstrap, Journal of Finance, 54, 1647–1691.

    Sweeney, R. J., 1986, Beating the Foreign Exchange Market. Journal of Finance, 41, 163–182.

    White, H., 2000, A Reality Check for Data Snooping, Econometrica, 68, 1097-1126.

    Hsu, Po-Hsuan, and Chung-Ming Kuan, 2005, Re-examining the Profitability of
    Technical Analysis with Data Snooping Checks, Journal of Financial Econometrics , 3, 606–628.

    Alexander, S. S., 1961, Price Movement in Speculative Markets: Trends or Random Walks, Industrial Management Review, 2, 7-26.

    Andrew C. Szakmary and Ike Mathur, 1997, Central Bank Intervention and Trading Rule Profits in Foreign Exchange Markets, Journal of International Money and Finance, Vol. 16, NO.4, pp. 513-535.

    Blake LaBaron, 1999, Technical Trading Rule Profitability and Foreign Exchange Intervention, Journal of International Economics, 49, pp. 125-143.

    Peter Saacke, 2002, Technical Analysis and the Effectiveness of Central Bank Intervention, Journal of International Money and Finance, 21, pp. 459-479.
    描述: 碩士
    國立政治大學
    國際經營與貿易學系
    96351022
    資料來源: http://thesis.lib.nccu.edu.tw/record/#G0096351022
    数据类型: thesis
    显示于类别:[國際經營與貿易學系 ] 學位論文

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