Market Efficiency of Taiwan Index Futures Market

Market Efficiency of Taiwan Index Futures Market

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本文採用1998年九月2日到2003九月30日的台灣指數期貨每日收盤價，總共1304筆資料。我們希望能藉由濾嘴法則以收盤價及交易量和未平倉量來衡量台灣指數期貨的效率性。而實證結果也證實可以藉由濾嘴法則濾除掉市場上的小波動，並進而預測出主要的價格趨勢。 === This thesis adopts futures data, which are the daily closing prices of the Taiwan Stock Exchange Capitalization Weighted Stock Index futures contracts. The sample period...

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Bibliographic Details
Main Authors: 徐仕尚, Hsu,Shih Shang
Language:英文
Published: 國立政治大學
Subjects:
台灣指數期貨
未平倉量
濾嘴法則
Taiwan Index Futures Market
Filter rules
momentum
open interest
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Online Access:http://thesis.lib.nccu.edu.tw/cgi-bin/cdrfb3/gsweb.cgi?o=dstdcdr&i=sid=%22G0913510151%22.

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http://thesis.lib.nccu.edu.tw/cgi-bin/cdrfb3/gsweb.cgi?o=dstdcdr&i=sid=%22G0913510151%22.

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