Using the Futures Basis to Examine the Weak Market Efficiency in Taiwanese Single Stock Futures

• Main Authors: Yun-Ru Lai, 賴韻如
• Other Authors: Li-Hua Lai
• Format: Others
• Language: zh-TW
• Published: 2014
• Online Access: http://ndltd.ncl.edu.tw/handle/59428625953678152954

碩士 === 國立高雄第一科技大學 === 風險管理與保險研究所 === 102 === 　The paper uses the futures basis as the reference associated with filter rules to examine the weak form market efficiency in Taiwan stock market. The observation period is set from1^st Jan. 2011 to&;#12310; 31&;#12311;^st Dec. 2013. There are total 13,872 daily closed data in our sample. The positive and negative operation rule are used to simulate the trading strategies with three trading rules, including “buy long”, “sell long”, and “buy long and sell short” methods. In addition, we compare the aforementioned trading performance with the return based on buy-and-hold rule. Finally, we use the multiple regression methodology to examine the relationship between trading return and firm’s operation performance and profitability of underlying stock. The empirical results indicate that, the weak form market efficiency does not exist in Taiwan stock market because using our trading rules can obtain excess return. The investors still can beat the market based on some trading strategies which identifying the trade direction and patterns.