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| Title: | 簡單技術分析交易法則－亞洲股票市場獲利能力
Simple technical trading rules - an empirical study on the profitability of Asian stock markets |
| Authors: | 陳惠卿
Chen, Huei Cing |
| Contributors: | 山本竜市
陳惠卿
Chen, Huei Cing |
| Keywords: | 技術分析
獲利能力 |
| Date: | 2008 |
| Issue Date: | 2009-09-11 17:09:05 (UTC+8) |
| Abstract: | This paper analyzes the behavior of moving average and trading range break technical trading rules applied to two developed markets of Hong Kong, Japan and five emerging markets such as Malaysia, Philippines, South Korea, Thailand and Taiwan. The samples cover the period from January 1990 to December 2008. We utilize some technical trading rules by replicating the framework of Brock et al. (1992) to explore whether we can also predict the stock price movement and make excess profits on certain trading rules with different efficiency level in Asian stock markets.On average, as far as the volatility results are concerned, we also obtain the same conclusion as Brock et al. (1992) that the returns following buy signals are less volatile than returns following sell signals. The FMA rules have the same conclusion as VMA rules that these rules have predictability in the five emerging markets. Unlike VMA and FMA trading rules, we find that the TRB rules are not quite successful in South Korea stock market anymore but still have greater forecast power in Malaysia, Philippines, Thailand and Taiwan. Moreover, we can also notice that most of the seven Asian stock markets averages across all rules are generating excess negative returns in the presence of real estimated transaction costs.
This paper analyzes the behavior of moving average and trading range break technical trading rules applied to two developed markets of Hong Kong, Japan and five emerging markets such as Malaysia, Philippines, South Korea, Thailand and Taiwan. The samples cover the period from January 1990 to December 2008. We utilize some technical trading rules by replicating the framework of Brock et al. (1992) to explore whether we can also predict the stock price movement and make excess profits on certain trading rules with different efficiency level in Asian stock markets.On average, as far as the volatility results are concerned, we also obtain the same conclusion as Brock et al. (1992) that the returns following buy signals are less volatile than returns following sell signals. The FMA rules have the same conclusion as VMA rules that these rules have predictability in the five emerging markets. Unlike VMA and FMA trading rules, we find that the TRB rules are not quite successful in South Korea stock market anymore but still have greater forecast power in Malaysia, Philippines, Thailand and Taiwan. Moreover, we can also notice that most of the seven Asian stock markets averages across all rules are generating excess negative returns in the presence of real estimated transaction costs. |
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| Description: | 碩士
國立政治大學
國際經營與貿易研究所
96351018
97 |
| Source URI: | http://thesis.lib.nccu.edu.tw/record/#G0096351018 |
| Data Type: | thesis |
| Appears in Collections: | [國際經營與貿易學系 ] 學位論文
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