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    题名: 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
    作者: 俞海慶
    Yu, Hai Cing
    贡献者: 山本竜市
    俞海慶
    Yu, Hai Cing
    关键词: 資料勘誤
    技術分析
    data snooping
    White`s reality check
    Stepwise multiple testing
    Technical trading rule
    日期: 2008
    上传时间: 2009-09-18 19:59:52 (UTC+8)
    摘要: 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.
    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.
    Hansen, P. R. (2004). “A Test for Superior Predictive Ability.” Working paper, Department of Economics, Brown University
    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.
    Sullivan, R., A. Timmermann, and H. White. (2001). “Dangers of Data-Driven Inference:The Case of Calendar Effects in Stock Returns.” Journal of Econometrics 105, 249–286.
    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, Reexamining the profitability of technical analysis with data snooping checks, Journal of Financial Econometrics 3, 606–628.
    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 30, 2135–2158.
    Romano, Joseph P., and Michael Wolf, 2005, Stepwise multiple testing as formalized data snooping,Econometrica 73, 1237–1282.
    JOSEPH P. ROMANO, AZEEM M. SHAIKH and MICHAEL WOLF,2008,” FORMALIZED DATA SNOOPING BASED ON GENERALIZED ERROR RATES”, Econometric Theory, 24, 2008, 404–447
    Pei Kuang, Michael Schröder and Qingwei Wang ,2008, “Trading Rules Profitability in the Emerging FX Market: Danger of Data Snooping”
    Po-Hsuan Hsu, Yu-Chin Hsu, Chung-Ming Kuan,2008,” Testing the Predictive Ability of Technical Analysis Using A New Stepwise Test without Data Snooping Bias
    Joseph P. ROMANO and Michael WOLF,2005,” Exact and Approximate Stepdown Methods for Multiple Hypothesis Testing” Journal of the American Statistical Association, March 2005,94-108
    Alexander, S. S. (1961). Price movement in speculative markets: trends or random walks. Industrial Management Review, 2, 7-26.
    Efron, B. (1979). Bootstrap methods: another look at the jackknife. The Annals of Statistics, 7(1), 1-26.
    Hamilton, W. P. (1998). The Stock Market Barometer, New York: John Wiley & Sons, Inc. (Originally published: New York : Harper & Brothers, 1922.)
    Levy, R. A. (1967). Relative strength as a criterion for investment selection. Journal of Finance, 22, 595-610.
    Pruitt, S. W. and White, R. E. (1988). The CRISMA trading system: who says technical analysis can’t beat the market? Journal of Portfolio Management, 14(3), 55-58.
    Chun-Chieh Wang ,2007,” Using SPA test and Reality Check to Examine the Performance of Technical Analyses in the Futures Markets” Haoyang University of Technology, unpublished master paper.
    Anders Amundson Managing Director, Elkins/McSherry(2004), “Market impact: Transaction cost analysis and the financial markets” Journal of financial transformation.
    Alex Frino, Andrew West(2003),” The impact of transaction costs on price discovery: Evidence from cross-listed stock index futures contracts”, Pacific-Basin Finance Journal 11 (2003) 139–151.
    描述: 碩士
    國立政治大學
    國際經營與貿易研究所
    96351017
    97
    資料來源: http://thesis.lib.nccu.edu.tw/record/#G0096351017
    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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