頁籤選單縮合
題 名 | 濾嘴法則與臺灣股票市場弱式效率性=Filter Rules and the Weak Form Market Efficiency of the Taiwanese Sock Market |
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作 者 | 周建新; 于鴻福; 陳正榮; | 書刊名 | 國立虎尾技術學院學報 |
卷 期 | 6 2003.03[民92.03] |
頁 次 | 頁157-167 |
分類號 | 563.54 |
關鍵詞 | 濾嘴法則; 效率市場; 個股股價濾嘴法則; Filter rules; Market efficiency; Own-stock filter rules; |
語 文 | 中文(Chinese) |
中文摘要 | 本文旨以各種大小的股價變動濾嘴作為交易條件,驗證臺灣股票市場之效率性,檢驗臺灣股票市場在某些交易法則下,投資人是否可以得到超額報酬。本文以臺灣證交所之全部上市股票為研究標的物,以1991年1月迄2000年12月之日資料為觀察對象,在考慮交易成本下,同時比較連續及不連續兩種不同之股票市場進出方式。實證結果發現在不連續交易策略下,個股雙移動平均法則、個股股價嘴參考個股及大盤成交量法則、臺股指數雙移動平均法則、個股股價濾嘴參考個股成交量法則及個股股價濾嘴法則等五個交易法則之操作績效優於買入持有策略;在連續交易策略下,個股雙移動平均法及臺股指數雙移動平均法則之操作績效皆優於買入持有策略。因此,本研究之結果認為,臺灣股票市場並不具備弱式效率性。 |
英文摘要 | This paper examines the weak-form market efficiency of the Taiwan Stock Market by simulating the trading performance of filter rules, and wants to know whether the investors can earn excess return under some trading rules or not. The sample contains all of the daily stock data between January 1991 to December 2000 trading on the Taiwan Stock Exchange. Considering the transaction cost, we compare both continuous and discontinuous trading strategy. And we find under discontinuous trading strategy, the own-stock dual-moving-average filter rule, the filter rule considering own-stock and all stocks trading volume, the Taiwan Stock Price Index dual-moving-average rule, the filter rule considering own-stock trading volume and own-stock filter rule can outperform the buy-and-hold strategy, and under continuous trading strategies, the own-stock dual-moving-average filter rule and the Taiwan Stock Price Index dual-moving-average outperform the buy-and-hold strategy even after accounting for transaction costs. This evidence indicates that the weak-form efficiency of Taiwan Stock Market does not exist. |
本系統中英文摘要資訊取自各篇刊載內容。