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台湾股票市场价与量对交易策略绩效的影响

【中文摘要】:本研究针对台湾股票市场的六种指数进行价操作策略与量操作策略的操作绩效探讨。价的最佳操作策略绩效比量的最佳操作策略好,并且最佳操作策略的累积报酬率相当可观。四种指数的价与量操作绩效分布情形呈现一致性,而另外两种指数的价与量操作绩效分布情形则呈现相反情形。当操作策略正确时,持有较长天期的累积报酬率会比持有较短天期的累积报酬率来得好;但是一旦操作策略错误,持有较长天期的持有策略,其亏损情形会比持有较短天期的持有策略更加严重。
本研究另外探讨了机构法人的买卖动作对操作策略的影响情形。在某些指数时,机构法人的买卖动作对报酬率有一定程度的影响,各种指数的影响程度不一;机构法人的买卖动作对整体报酬率的贡献程度也不一致,在执行操作策略期间与整体回测期间,其贡献程度差异相当巨大。显示机构法人的买卖动作对操作策略的绩效仍具有一定的影响力。
【英文摘要】:For six kind indices in Taiwan stock market, we use different price strategies and trading volume strategies to see their performances. The performance of the best price strategy is better than the best trading volume strategy with amazing cumulative return. Four indices have consistency in price and trading volume on the performance distribution, but the others show the contrary relationship between price and trading volume. When we take the right strategy, the performance of long term holding strategy is better than the short term holding strategy. Once we choose the wrong strategy, the loss of holding long term is bigger than holding short term.

We also consider the impact of the trading behavior of Institution Investor on trading volume strategy. The impact is different to indices with different degree on stock index return. They also have different contribution on whole return in operating strategy time and the whole time. The impact of the trading behavior of Institution Investor on trading volume strategy performance is truly important because of the huge divergence degree of contribution.
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  • 二、 英文部分
  • 杨践为 (2001)。”台湾店头市场报酬率、机构性投资者买卖超及交易策略之研究”。《中国财务学刊》,第九卷,第2期,页67-89。
  • 黄庆辉 (2002)。”台湾股市三大法人交易资讯公布之研究”。国立中正大学财务金融研究所未出版硕士论文。
  • 陈东明(1990)。”台湾股票市场价量关係之实证研究”。台湾大学商学研究所未出版硕士论文。
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  • 庄佳彰、管中闵(2005)。”台湾与美国股市价量关係的分量迴归分析”。中央研究院经济研所经济论文。
  • 张秀华(2000)。”股价指数与交易量动态关係之实证研究”。东海大学企业管理学系硕士论文。
  • 林大伟(2010)。”台湾市场小型股与成交量之实证关係”。国立政治大学金融学系硕士班硕士论文。
  • 王健聪、许溪南、黄文芳(2010)。” 台湾股市三大法人买卖超型态、强度与报酬之关联性”。《中华管理评论国际学报》,第十三卷,第4期。
  • 一、 中文部分
  • 来源:中山大学;作者:杨智翔
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