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題 名 | 效率市場假說再審視:臺灣期貨市場個案研究(2004~2011)=Efficient Market Hypothesis Revisited: The Case Study of Taiwan Futures Market (2004~2011) |
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作 者 | 練有為; 鄭素珍; | 書刊名 | 大漢學報 |
卷 期 | 26 2013.01[民102.01] |
頁 次 | 頁55-77 |
分類號 | 561.76 |
關鍵詞 | 借券放空; 程式交易; 向量自我迴歸模型; 變異數分解函數; 衝擊反應函數; 效率市場; Short selling; Programming trading; Vector autoregressive model; Variance decomposition function; Impulse response function; Efficient market; |
語 文 | 中文(Chinese) |
中文摘要 | 本研究運用程式交易並根據我國期貨市場2004年至2011年的資料,探討台灣不同之機構投資人,在各自既有的現貨資料下,比較若是沿用擁有外資借券資訊優勢時的過去操作模式,是否仍然可以在期貨市場的操作獲利,實證結果顯示:機構投資人仍然可以在期貨市場獲利(投信、自營商與外資總淨利仍然分別有34萬、16萬和26萬),證明我國期貨市場在二次金融危機下,不符合強勢效率市場的條件。 |
英文摘要 | Adopting programming trading, this study tries to investigate whether or not Taiwan's QDII with the information of securities lending to QFII can improve their performance in Taiwan's futures market during 2004-2011. The empirical evidence shows that following the past model which is with the informed information of securities lending to QFII is critical to QDII's operation to make profit(investment trust, dealers and INFI's net profits were 34,000, 160,000, and 260,000 respectively). It indicates that Taiwan futures market does not fulfill the conditions of strong-form efficient market during the financial crisis. |
本系統中英文摘要資訊取自各篇刊載內容。