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| Title: | 以White的真實性檢定與Stepwise Multiple Testing來檢驗技術分析在不同股票市場的獲利性
Examining the profitability of technical analysis with white’s reality check and stepwise multiple testing in different stock markets |
| Authors: | 俞海慶
Yu, Hai Cing |
| Contributors: | 山本竜市
俞海慶
Yu, Hai Cing |
| Keywords: | 資料勘誤
技術分析
data snooping
White`s reality check
Stepwise multiple testing
Technical trading rule |
| Date: | 2008 |
| Issue Date: | 2009-09-18 19:59:52 (UTC+8) |
| Abstract: | 在使用White的真實性檢定和Stepwise Multiple Test消除資料勘誤的問題之後，有些技術分析確實可以擊敗大盤，在1989到2008，DJIA, NASDAQ, S&P 500, NIKKEI 225, TAIEX這五個指數中。但是在較不成熟的市場或較過去的時間內，我沒辦法找到任何強烈的關係在這些市場與超額報酬間。還有學習策略通常沒辦法獲得比簡單策略更好的表現，代表使用過去最好的策略來預測未來並不是個好主意。我同時還發現在熊市比穩定的牛市更有可能擊敗買進持有的策略。
In five indices, DJIA, NASDAQ, S&P 500, NIKKEI 225, TAIEX, from 1989 to 2008, some technical trading rules indeed can defeat the broad market even after using the White reality check and stepwise multiple test to solve the data snooping problem. But in the markets like less mature ones or the one which was in the older period, I can’t find a strong relation between these markets and the excess return in my research. And the learning strategy usually can’t have a better performance than the simple one, means applying the rule which had a best record to forecast the future may not be a good idea. I also found that it is more likely to beat the buy and hold strategy when there is a bear market but not a steady bull market. |
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| Description: | 碩士
國立政治大學
國際經營與貿易研究所
96351017
97 |
| Source URI: | http://thesis.lib.nccu.edu.tw/record/#G0096351017 |
| Data Type: | thesis |
| Appears in Collections: | [國際經營與貿易學系 ] 學位論文
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