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| 研究生： |
廖士安 Liao, Shih-An |
|---|---|
| 論文名稱： |
葛蘭碧交易法則的檢驗與調整 Examination and Adjustment On Granville’s Trading Rules |
| 指導教授： |
胡聯國
Hu, Len-Kuo |
| 口試委員: |
杜建衡
Du, Chien-Heng 吳菊華 Wu, Ju-Hua |
| 學位類別： |
碩士
Master |
| 系所名稱： |
商學院 - 國際經營與貿易學系 Department of International Business |
| 論文出版年： | 2019 |
| 畢業學年度： | 107 |
| 語文別： | 英文 |
| 論文頁數： | 47 |
| 中文關鍵詞： | 葛蘭碧法則 、技術分析 、股票市場 |
| DOI URL： | http://doi.org/10.6814/THE.NCCU.IB.002.2019.F06 |
| 相關次數： | 點閱：59 下載：1 |
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As Pring (2002) said, the essence of technical analysis is to identify a trend reversal at a relatively early stage and ride on that trend. Motivated by the interest in the art of technical analysis, this thesis intends to find somehow to beat the market whether the market is a Bull market or a Bear market. The technical analysis I applied in this paper is Joseph Granville Rules (Granville Rules). The Granville Rules are derived from simple calculations between the price and the moving average. This thesis investigates the profitability of the Granville Rules. And in the pursuit of better profitability, I add some restrictions under the spirit of the original rules. The dataset comes at the daily frequency and consists of the closing price and opening price on three stock indexes: Taiwan Capitalization Weighted Stock Index (TAIEX), Dow Jones Industrial Average Stock Index (DJI) and Shanghai Securities Composite Stock Index (SSE). The empirical test shows that the Granville Rules are increasingly profitable and rewards investors with notable returns in the stock markets.
1 Introduction 1
2 Literature Review 3
3 Methodology 5
3.1 Benchmark 5
3.2 Granville Rules 5
3.3 Test 8
3.4 Examination 10
3.5 Adjustment 11
4 Data 11
5 Empirical Results 12
5.1 Taiwan Capitalization Weighted Stock Index 12
5.2 SSE Composite Stock Index 18
5.3 Dow Jones Industrial Average 24
6 Examination and Adjustment 30
6.1 Adjustment on TAIEX 30
6.2 Adjustment on SSE index 35
6.3 Adjustment on DJI 37
6.4 Summary 39
7 Conclusions 40
8 Recommendations for Future Research 41
References 42
Appendices 43
Cheol-Ho Park and Scott H. Irwin (2004) “Profitability of Technical Analysis: A Review” AgMAS Project Research Report 2004-04
Fama, E. F. (1997) “Market Efficiency, Long-Term Returns, and Behavioral Finance.” Journal of Financial Economics, 49(1998):283-306.
Gerwin A. W. Griffioen (2004) “Technical Analysis in Financial Markets” New York Institute of Finance, 2004
Huadong (Henry) Pang (2009) “A Novel Simple but Empirically Consistent Model for Stock Price and Option Pricing” Working paper
Pring M. J. “Technical Analysis Explained” New York, NY: McGraw-Hill, 2002.
Samuelson, P. (1965) “Proof that Properly Anticipated Prices Fluctuate Randomly” Industrial Management Review 6, 41-49
Sheng-You Huang, Wang Zong Min (2016) “The Timepipe” Unpublished
Valeriy Zakamulin (2015) “Market Timing with a Robust Moving Average” Working paper
William Wai Him Tsang, Terence Tai Leung Chong (2009) “Profitability of the On-Balance Volume Indicator” Economics Bulletin Volume 29 Issue 3
