An Empirical Study of Asymmetric Relationships between Risk and Return: Evidence from Analyzing Taiwan Stock Index Futures based on Market Profile

• Main Authors: Cheng, Tan-Hui, 鄭丹卉
• Other Authors: Chen, An-Pin
• Format: Others
• Language: zh-TW
• Published: 2013
• Online Access: http://ndltd.ncl.edu.tw/handle/k6b8bp

碩士 === 國立交通大學 === 資訊管理研究所 === 101 === Since Fama defines the efficient market hypothesis, the researchers have published a study of empirical analysis of efficient markets, but because the different kinds of research methods, research data, and the research object, whether the market is efficient or not may also have different conclusions. Based on the theory of market profile, the study intends to analyze the eight-year Taiwan Stock Index Futures data using back-propagation neural network as an assessment tool for the future market direction. The study tries to find free exposure in the futures market, so as to achieve better profit point but low-risk trading position and discuss the relationship between risk and return in Taiwan futures market, then examine the Taiwan futures market meet the weak-form efficient market hypothesis. The research results show that indeed it finds out the relative low-risk trading price in the futures market. The experimental results not only verify the effectiveness of the market profile indicator, but also support the asymmetric relationships between risk and return exists in the Taiwan futures market, so that the Taiwan futures market does not meet the weak-form efficient market hypothesis.