English  |  正體中文  |  简体中文  |  Post-Print筆數 : 27 |  Items with full text/Total items : 113656/144643 (79%)
Visitors : 51726404      Online Users : 636
RC Version 6.0 © Powered By DSPACE, MIT. Enhanced by NTU Library IR team.
Scope Tips:
  • please add "double quotation mark" for query phrases to get precise results
  • please goto advance search for comprehansive author search
    •  Adv. Search
    Home ‧ Login ‧ Upload ‧ Help ‧ About ‧ Administer Goto mobile version


    Please use this identifier to cite or link to this item: https://nccur.lib.nccu.edu.tw/handle/140.119/95059


    Title: 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
    Authors: 吳至剛
    Contributors: 山本竜市
    吳至剛
    Keywords: 技術分析
    央行干預
    資料窺視
    technical analysis
    central bank intervention
    data snooping
    White`s reality check
    Date: 2009
    Issue Date: 2016-05-09 14:53:08 (UTC+8)
    Abstract: 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.
    Reference: 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.
    Description: 碩士
    國立政治大學
    國際經營與貿易學系
    96351022
    Source URI: http://thesis.lib.nccu.edu.tw/record/#G0096351022
    Data Type: thesis
    Appears in Collections:[國際經營與貿易學系 ] 學位論文

    Files in This Item:

    There are no files associated with this item.



    All items in 政大典藏 are protected by copyright, with all rights reserved.


    社群 sharing

    著作權政策宣告 Copyright Announcement
    1.本網站之數位內容為國立政治大學所收錄之機構典藏，無償提供學術研究與公眾教育等公益性使用，惟仍請適度，合理使用本網站之內容，以尊重著作權人之權益。商業上之利用，則請先取得著作權人之授權。
    The digital content of this website is part of National Chengchi University Institutional Repository. It provides free access to academic research and public education for non-commercial use. Please utilize it in a proper and reasonable manner and respect the rights of copyright owners. For commercial use, please obtain authorization from the copyright owner in advance.

    2.本網站之製作，已盡力防止侵害著作權人之權益，如仍發現本網站之數位內容有侵害著作權人權益情事者，請權利人通知本網站維護人員(nccur@nccu.edu.tw)，維護人員將立即採取移除該數位著作等補救措施。
    NCCU Institutional Repository is made to protect the interests of copyright owners. If you believe that any material on the website infringes copyright, please contact our staff(nccur@nccu.edu.tw). We will remove the work from the repository and investigate your claim.
    DSpace Software Copyright © 2002-2004  MIT &  Hewlett-Packard  /   Enhanced by   NTU Library IR team Copyright ©   - Feedback