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研究生： 吳至剛
論文名稱： 外匯市場的技術分析與央行干預
Technical trading rules in the exchange rate markets and central bank intervention
指導教授： 山本竜市
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： 2009
畢業學年度： 97
語文別： 英文
論文頁數： 44
中文關鍵詞： 技術分析 、央行干預 、資料窺視
外文關鍵詞： central bank intervention, data snooping, White's reality check
相關次數： 點閱：177  下載：65 
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    • 在這篇文章裡我們採用了White所提出的真實檢驗法(Reality Check)來解決探勘資料偏誤(Data-snooping bias)的問題，結果顯示從1980年到2008年間，技術分析法則的確可以幫助投資人在日圓兌美元及英鎊兌美元這兩個外匯市場獲利；我們也發現在外匯市場最普遍的技術分析方式─移動平均法(moving average)表現不如其他的技術分析法則，而通道突破法(channel break-out)的表現則明顯優於其他技術分析法則。

    除了檢驗技術分析方法的獲利性之外，我們也嘗試著探討技術分析方法的獲利性與央行干預之間的關係，追隨Szacmary與Mathur在1997年所發表的論文，我們把技術分析法則擴充為在真實檢驗法中所使用到的所有法則，並且盡可能加長分析的期間。結果顯示技術分析法則的獲利與央行干預並不存在任何特定的關係。

    In this paper we construct a huge universe of simple trading rules and apply White’s Reality Check to mitigate data-snooping bias then detect the profitability of technical trading rules. We find that technical analysis is useful no matter in the full sample time or each subsample period. The channel break-out method outperforms the other methods in our finding while the profitability of the most commonly used moving average method is worse than the others. Furthermore, we inspect the relationships between the returns of technical trading rules and central bank intervention. The results suggest that there’s no evident relationship between the return series of trading rules and central bank intervention and are not consistent with the view of our following previous study.

    Abstract

    1. Introduction ……………………………………………………………………….………….. 1

    2. Data Snooping and White’s Reality Check …………………………………….... 3
    2.1 Data Snooping ………………………………………………………………………….. 3
    2.2 White’s Reality Check ……………………………………………………………….. 4

    3. Universe of Trading Rules ……………………………………………………………….. 8
    3.1 Filter Rules ……………………………………………………………………………….. 8
    3.2 Moving Averages ……………………………………………………………………… 9
    3.3 Support and Resistance …………………………………………………………… 10
    3.4 Channel Break-outs ………………………………………………………………… 10
    3.5 Benchmark …………………………………………………………………………….. 11

    4. Central Bank Intervention …………………………………………………………….. 12
    4.1 Central Bank Intervention ……………………………………………………….. 12
    4.2 Leaning-against-the-wind Intervention …………………………………... 13

    5. Data and Methodologies ………………………………………………………………. 15
    5.1 Data Resource …………………………………………………………………………. 15
    5.2 Methodologies ……………………………………………………………………….. 15
    5.2.1 Measure of Daily Return …………………………………………………… 15
    5.2.2 Central Bank Intervention ………………………………………………… 16

    6. Empirical Results …………………………………………………………………………… 19
    6.1 Sample Statistics …………………………………………………………………….. 19
    6.2 Profitability of Trading Rules …………………………………………………… 21
    6.3 White’s reality Check ………………………………………………………………. 28
    6.4 Central Bank Intervention ……………………………………………………….. 29

    7. Conclusions ………………………………………………………………………………….. 35

    Appendix …………………………………………………………………………………………… 36
    Reference ………………………………………………………………………………………….. 44

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