Predicting Price Change of TAIEX Futures by Using Public Information of Market – Application of Survival Analysis

• Main Authors: Chia-mao Wu, 吳佳懋
• Other Authors: none
• Format: Others
• Language: zh-TW
• Published: 2014
• Online Access: http://ndltd.ncl.edu.tw/handle/9m373x

碩士 === 國立臺灣科技大學 === 財務金融研究所 === 102 === Due to the small size of market in Taiwan, literature confirmed that institutional investments affect the market. The study is to use the daily public information provided by mass media and to apply survival analysis to forecast the price change of TAIEX Futures. The sample period covers from 2009 to 2012. Empirical results indicate that : (1)The significant variables in the model of predicting the rising price are return of TAIEX, the growth of volume in Dealers net buy or sell price, the growth of basis and the growth rate of S&;P500. The percentage of correctness is 74.47% and the average return in the performance price is 35.73. (2)The significant variables in the model of predicting the falling price are the net daily trading volume of Foreign Investor, the growth of Dealer net daily trading volume, VOX, the growth of basis, SIMEX index futures and the growth rate of SIMEX index futures. The percentage of correctness is 75.32% and the average return in the performance price is 37.99.