資訊交易與技術分析;Informed Trading and Technical Analysis

NCUIR > School of Management at National Central University > Department of Finance > Research Project > Item 987654321/78604

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Title:	資訊交易與技術分析;Informed Trading and Technical Analysis
Authors:	賴弘能
Contributors:	國立中央大學財務金融學系
Keywords:	資訊交易;資訊交易機率;技術分析;資產訂價;;Informed trading;Probability of informed trading;technical analysis;asset pricing.
Date:	2018-12-19
Issue Date:	2018-12-20 12:06:46 (UTC+8)
Publisher:	科技部
Abstract:	技術分析為各種資產的投資人廣泛應用，但是在學術文獻中，其有效性並無定論，原因可能是其在某些情境有用而在其他情境無效。本計畫因此擬探討資訊交易如何影響技術分析的有效性。在理論文獻上，無論是理性預期還是行為財務的模型，都對於此影響有所提示，只是預期的方向不同。為探討此一問題，本計畫擬比照 Han, Yang, and Zhou (2013) 的做法，以美國股市為樣本，依據前一年的資訊交易機率，形成投資組合，探討在次一年利用移動平均指標交易這些投資組合，是否有不同的超額報酬。本計畫的研究成果將有助於投資人在市場上選擇投資標的，並擬訂有效的交易策略。 ;Although technical analysis has been widely applied by investors in a variety of asset classes, its effectiveness is in dispute in academic literature, of which the reason is likely to be that it is effective in some scenarios but not in the others. Therefore, this project would like to investigate how informed trading affects the effectiveness of technical analysis. The theoretical literatures of rational expectation and behavioral finance have both suggested that informed trading affects the effectiveness of technical analysis, but they differ in predicting the direction of the effect. This project would like to follow Han, Yang, and Zhou's (2013) methodology to investigate this question. Namely, this project would like to use the U.S. stocks as samples, form portfolios according to the probability of informed trading in the previous year, trade these portfolios by moving average indicators in the next year, and to compute the differences in the abnormal returns of these portfolios. The research outcomes of this project are expected to help investors selecting assets and developing effective trading strategies.
Relation:	財團法人國家實驗研究院科技政策研究與資訊中心
Appears in Collections:	[Department of Finance] Research Project

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