台股期貨市場弱式效率性之研究

• Main Author: 吳百正
• Other Authors: 梁瓊如
• Format: Others
• Language: zh-TW
• Published: 2004
• Online Access: http://ndltd.ncl.edu.tw/handle/97697464763675027305

碩士 === 國立臺灣科技大學 === 財務金融研究所 === 92 === In this study, we use the technique analysis to test whether the technique indicators can obtain excess return and whether Taiwan index (TX) future market can support weak-form efficiency. Besides, we consider effect of stop loss mechanism and price pattern on trading performance. In this study, the sample contains Taiwan index future daily data from September 1998 to December 2003. The empirical result is: 1.In the total sample period, all technique indicators cannot obtain the significant profit after the transaction cost. It means that in the long term, the Taiwan index future market support the weak-form efficiency. 2.In the total sample period, the stop loss mechanism can improve the trading performance. The trading strategies with stop loss mechanism earn significant profit. 3.There is significant performance difference between the trend period and non-trend period. Hence, the Taiwan index future market does not have efficiency in the short term.