The Prediction of S&P 500 Index Futures

• Main Authors: Shu-Chen Yang, 楊淑真
• Other Authors: 徐俊明
• Format: Others
• Language: zh-TW
• Published: 2010
• Online Access: http://ndltd.ncl.edu.tw/handle/72686898933163021251

碩士 === 國立中興大學 === 財務金融系所 === 98 === The purpose of this study is to forecast the future trend of stock prices. Using Standard and Poor’s (S&P) 500 index futures as the target, I examine the predictability of two methods on their weekly trends. The two methods are based on fundamental and technical analyses, respectively. Specifically, I conduct regressions using past returns on S&P index futures, VIX index, and futures open interests to predict returns of next week, and apply technical rules to generate buy and sell signals. The results, however, show that investors would lose by using these methods to trade for the period of 2001-2009, implying the fruitlessness of stock price prediction. Nevertheless, technical rules can make profits for the whole period, while the profits are not stable over time. This can seemingly explain why investors prefer to use technical analysis in the short run. Overall, I conclude that the results are consistent with the efficient market hypothesis.