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| 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. |
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| 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: | [國際經營與貿易學系 ] 學位論文
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