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博碩士論文 etd-0624110-140548 詳細資訊
Title page for etd-0624110-140548
論文名稱
Title
臺灣加權股價指數期貨當日沖銷行為之研究
A Study on Day trading Behavior of Taiwan Stock Exchange Capitalization Weighted Stock Index Futures
系所名稱
Department
畢業學年期
Year, semester
語文別
Language
學位類別
Degree
頁數
Number of pages
49
研究生
Author
指導教授
Advisor
召集委員
Convenor
口試委員
Advisory Committee
口試日期
Date of Exam
2010-06-14
繳交日期
Date of Submission
2010-06-24
關鍵字
Keywords
加碼、停損、技術分析、當日沖銷
day trading, technical analysis, raise-stake, stop-loss
統計
Statistics
本論文已被瀏覽 5663 次,被下載 34
The thesis/dissertation has been browsed 5663 times, has been downloaded 34 times.
中文摘要
  期貨具有流動性與操作彈性,加上無法長期持有的特性與保證金制度的要求,使得頗多期貨交易人偏好當日沖銷交易,以規避隔日價格跳空風險。
  當沖交易者常見的策略是根據技術指標採順勢操作,並積極管理持有部位,在操作方向錯誤時認賠停損,若方向正確時則加碼持有,擴張利潤。甚至可利用程式交易技術即時且紀律地執行操作,以利當日沖銷交易的進行。
  本研究採用臺灣加權股價指數期貨為樣本,以技術分析相關文獻較常探討的移動平均線為基礎交易訊號,輔以成交量與布林通道的考量,模擬趨勢操作的績效。發現當沖交易者於日內中長期時間( 30~60分鐘)的情形下,即使技術分析不若預期地有效,仍可透過積極管理持有部位的停損與加碼策略,改變績效分配,進而獲得正報酬。
Abstract
  With high liquidity and operating flexibility, futures can not be held for long term and must be restricted by margin requirement. This makes many futures traders prefer day trading to avoid the risk of the price gap of the next trading day.
  Day traders tend to operate a trend-following strategy based on technical analysis and actively manage their holding positions. They take stop-loss strategy in the wrong direction to limit the damage, while take raise-stake strategy in the right direction to increase profits. A program trading system can even be utilized to carry out the strategy immediately and mechanically.
  This study use Taiwan Stock Exchange Capitalization Weighted Stock Index Futures as our sample. It simulates the performance of trend-following strategy of day traders by using moving average as basic signals, combined with the trading volume and Bollinger Band.
  We found that, in medium-term and long-term time frame (30-60 minutes), active management of stop-loss and overweight strategy can still change the distribution of performance and earn positive returns, even if moving average technical analysis is not as effective as expected.
目次 Table of Contents
第一章 緒論 1
第一節 研究背景 1
第二節 研究動機與目的 3
第三節 研究架構 3
第二章 文獻探討 5
第一節 效率市場與技術分析 5
第二節 當日沖銷 9
第三節 程式交易 11
第三章 研究設計 13
第一節 資料來源與研究樣本 13
第二節 交易策略設計 15
第三節 研究假設與操作性定義 22
第四章 模擬結果與分析 25
第一節 技術分析績效 25
第二節 積極管理績效 32
第三節 當沖交易行為模擬結果 37
第五章 結論與建議 38
第一節 結論 38
第二節 研究建議 40
參考文獻 41
參考文獻 References
中文文獻
1.味正杰,2002,應用技術分析於期貨投資:日內資料之實證研究,朝陽科技大學財務金融研究所碩士論文。
2.高偉展,2004,開盤八法應用於台灣期貨市場之實證研究,朝陽科技大學財務金融研究所碩士論文。
3.高梓森,1993,台灣股市技術分析之實證研究,國立臺灣大學財務金融研究所碩士論文。
4.宮欽恕,2009,當日沖銷制度對台股指數期貨與選擇權波動性及成交量影響之研究,輔仁大學金融研究所碩士論文。
5.陳建全,1997,台灣股市技術分析之實證研究,國立臺灣大學商學研究所碩士論文。
6.莊家彰、管中閔,2005,台灣與美國股市價量關係的分量迴歸分析,經濟論文,33:4,379-404。
7.葉日武,1987,以技術分析市場時機的效果驗證,國立政治大學企業管理研究所碩士論文。
8.楊家維,2000,技術分析用於當沖之有效性研究------台灣股市之實證分析,國立台北大學經濟研究所碩士論文。
9.趙永昱,2002,技術分析交易法則在股市擇時之實證研究,國立中山大學財務管理研究所碩士論文。
10.賴維德,1993,當日沖銷交易策略之獲利性研究,國立中山大學企業管理研究所碩士論文。

英文文獻
1.BenZion, U., Klein, P., Shachmurove, Y. and Yagil, J., 2003, Efficiency Differences Between the S&P 500 and the Tel-Aviv 25 Indices: A Moving Average Comparison, International Journal of Business, Vol. 8, No. 3, 267-284.
2.Brock, W., Lakonishok, J. and LeBaron, B., 1992, Simple Technical Trading Rules and the Stochastic Properties of Stock Returns, The Journal of Finance, Vol. 47, No. 5, 1731-1764.
3.Clements, J. A., 1989, Process Capability Calculations for Non-Normal Distributions, Quality Progress, Vol. 22, No. 9, 95-100.
4.Coutts, J. A. and Cheung, K., 2000, Trading Rules and Stock Returns: Some Preliminary Short Run Evidence from the Hang Seng 1985-1997, Applied Financial Economics, Vol. 10, Issue 6, 579-586.
5.Fama, E. F., 1970, Efficient Capital Markets: A Review of Theory and Empirical Work, The Journal of Finance, Vol. 25, No. 2, 383-417.
6.Fang, Y. and Xu, D., 2003, The predictability of asset returns: an approach combining technical analysis and time series forecasts, International Journal of Forecasting, Vol. 19, Issue 3, 369-385.
7.Gencay, R. and Strengos, T., 1998, Moving Average Rules, Volume and the Predictability of Security Returns with Feedforward Networks, Journal of Forecasting, Vol. 17, Issue 5-6, 401-414.
8.Gunasekarage A. and Power D. M., 2001, The profitability of moving average trading rules in South Asian stock markets, Emerging Markets Review, Vol. 2, Issue 1, 17-33.
9.Hudson, R., Dempsey, M. and Keasey, K., 1996, A note on the weak form efficiency of capital markets: The application of simple technical trading rules to UK stock prices – 1935 to 1994, Journal of Banking & Finance, Vol. 20, Issue 6, 1121-1132.
10.Kahneman, D. and Tversky, A., 1979, Prospect Theory: An Analysis of Decision under Risk, Econometrica, Vol. 47, No. 2, 263-291.
11.Tian, G. G., Wan, G. H. and Guo, M., 2002, Market Efficiency and the Returns to Simple Technical Trading Rules: New Evidence from U.S. Equity Market and Chinese Equity Markets, Asia-Pacific Financial Markets, Vol. 9, No. 3-4, 241-258.
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