题名

技術交易策略在外匯市場無往不利？

并列篇名

Are Technical Trading Rules Always Profitable in the Foreign Exchangemarket?

DOI

10.29629/TEFP.201103.0003

作者

莊珮玲(Pei-Ling Chuang)；林信助(Shinn-Juh Lin)；郭炳伸(Biing-Shen Kuo)

关键词

技術分析 ； 日內交易 ； 資料窺視偏誤 ； Technical analysis ； Intraday trading ； Data snooping bias

期刊名称

臺灣經濟預測與政策

卷期/出版年月

41卷2期（2011 / 03 / 01）

页次

95 - 126

内容语文

繁體中文
中文摘要

本文主要針對新臺幣兌換美元的外匯匯率，採用有效排除資料窺視偏誤的Superior Predictive Ability檢定來探究技術交易策略運用於臺灣匯市時，是否具有日內交易表現較好，且隨著決策時間愈短表現愈佳之特性；並藉此驗證爲何在現實生活中，投資人會隨著決策時間的縮短而使用更高比例的技術交易法則。我們的實證結果顯示：在現有資料長度限制下，技術交易策略於新臺幣／美元外匯市場上的日間交易，具有十分顯著的獲利能力；反之，在日內交易方面，不管資料頻率爲何（30分鐘、15分鐘、10分鐘、或5分鐘），皆不存在任何顯著的獲利性。整體而言，在臺灣的外匯市場中，我們沒有找到隨決策時間愈短，技術交易策略表現愈佳的證據。透過進一步的分析，我們發現兩個有趣的結果：第一、技術交易策略在日間交易與日內交易的獲利能力差異與匯價走勢的變化程度有關。第二、移動平均法則適用在馬可夫轉換模型的環境中。因此，在投資標的物價格可以由馬可夫轉換模型配適良好的前提下，投資人採用移動平均法則來從事投資決策應能有不錯的獲利表現。
英文摘要

This paper investigates whether technical trading rules, when applied to Taiwan's foreign exchange market, perform better in intraday trading and gain better performance as the intraday decision horizon is shortened. To avoid data snooping bias, we adopt the Superior Predictive Ability (SPA) test to obtain robust results. Our empirical results show that technical trading rules enjoy significant profitability for the daily trading in the NTD/USD exchange rate market. In contrast, when applied to intraday data at various frequencies, none of the technical trading rules we test are significantly profitable. Overall, on Taiwan's FX market, we did not find evidence that technical trading rules are more profitable with a shorter time horizon. Further analyses lead to two interesting findings. First of all, differential performance of technical trading rules in daily trading versus intraday trading is related to the magnitudes of price-changes of foreign exchange rates. Second, the essence of the moving average trading rule can be captured by a Markov switching model. The implication is that, if the targeted asset prices could be better fitted by a Markov switching model, traders may obtain decent profitability by adopting the moving average trading rule in their investment strategy.
主题分类 社會科學 > 經濟學
参考文献
  1. Allen, H.,Taylor, M. P.(1992).The Use of Technical Analysis in the Foreign Exchange Market.Journal of International Money and Finance,113,301-314.
  2. Box, G.,Jenkins, G.(1976).Time Series Analysis, Forecasting, and Control.San Francisco, California:Holden Day.
  3. Brock,W.,Lakonishok, J.,LeBaron, B.(1992).Simple Technical Trading Rules and the Stochastic Properties of Stock Returns.Journal of Finance,47,1731-1764.
  4. Chan, L. K. C.,Jegadeesh, N.,Lakonishok, J.(1996).MomentumStrategies.Journal of Finance,51,1681-1713.
  5. Chan, L. K. C.,Karceski, J.,Lakonishok, J.(1998).The Risk and Return from Factors.Journal of Financial and Quantitative Analysis,33,159-188.
  6. Curcio, R.,Goodhart, C.,Guillaume, D.,Payne, R.(1997).Do Technical Trading Rules Generate Profits? Conclusions from the Intra-Day Foreign Exchange Market.International Journal of Finance and Economics,2,267-280.
  7. Davidson, R.,Mackinnon, J. G.(1981).Several Tests for Model Specification in the Presence of Alternative Hypotheses.Econometrica,49(3),781-793.
  8. Dempster, M. A. H.,Jones, C. M.(2002).Can Channel Pattern Trading Be Profitably Automated?.The European Journal of Finance,8,275-301.
  9. Fama, E. F.(1970).Efficient Capital Market: A Review of Theory and Empirical Work.Journal of Finance,25,383-471.
  10. Gencay, R.(1998).The Predictability of Security Returns with Simple Technical Trading Rules.Journal of Empirical Finance,5,347-359.
  11. Hansen, P. R.(2005).A Test for Superior Predictive Ability.Journal of Business and Economic Statistics,23,365-380.
  12. Hsu, P. H.,Kuan, C. M.(2005).Reexamining the Profitability of Technical Analysis with Data Snooping Checks.Journal of Financial Econometrics,3(4),606-628.
  13. Kavajecz, K. A.,Odders-White, E. R.(2004).Technical Analysis and Liquidity Provision.Review of Financial Studies,17(4),1043-1071.
  14. Lakonishok, J.,Shleifer, A.,Vishny, R. W.(1994).Contrarian Investment, Extrapolation, and Risk.Journal of Finance,49,1541-1578.
  15. Lakonishok, J.,Smidt, S.(1988).Are Seasonal Anomalies Real? A Ninety-Year Perspective.Review of Finance Studies,1,403-425.
  16. LeBaron, B.(1999).Technical Trading Rule Profitability and Foreign Exchange Intervention.Journal of International Economics,49,125-143.
  17. Levich, R. M.,Thomas, L. R.(1993).The Significance of Technical Trading-Rule Profits in the Foreign Exchange Markets: A Bootstrap Approach.Journal of International Money and Finance,12,451-474.
  18. Lo, A. W.,MacKinlay, A. C.(1990).Data-Snooping Biases in Tests of Financial Asset Pricing Models.Review of Financial Studies,3,431-467.
  19. Lui, Y.,Mole, D.(1998).The Use of Fundamental and Technical Analysis by Foreign Exchange Dealers: Hong Kong Evidence.Journal of International Money and Finance,17,535-545.
  20. Marshall, B. R.,Cahan, R. H.,Cahan, J. M.(2008).Does Intraday Technical Anal-ysis in the U.S. Equity Market Have Value?.Journal of Empirical Finance,15,199-210.
  21. Neely, C. J.(1997).Technical Analysis in the Foreign Exchange Market: A Layman's Guide.Federal Reserve Bank of St. Louis Review,79(5),23-28.
  22. Neely, C. J.,Weller, P. A.(2003).Intraday Technical Trading in the Foreign Exchange Market.Journal of International Money and Finance,22(2),223-237.
  23. Neely, C. J.,Weller, P. A.,Dittmar, R.(1997).Is Technical Analysis in the Foreign ExchangeMarket Profitable? A Genetic Programming Approach.Journal of Financial and Quantitative Analysis,32,405-426.
  24. Oberlechner, T.(2001).Importance of Technical and Fundamental Analysis in the European Foreign Exchange Market.International Journal of Finance and Economics,6,81-93.
  25. Okunev, J.,White, D.(2003).Do Momentum-Dased Strategies Still Work in Foreign CurrencyMarkets?.Journal of Financial and Quantitative Analysis,38,425-447.
  26. Osler, C.(2003).Currency Orders and Exchange Rate Dynamics: An Explanation for the Predictive Success of Technical Analysis.Journal of Finance,58,1791-1820.
  27. Osler, C.(2000).Support for Resistance: Technical Analysis and Intraday Exchange Rates.Federal Reserve Bank of New York Economic Policy Review,6(2),53-68.
  28. Pring, M. J.(1985).Technical Analysis Explained: The Successful Investor's Guide to Spotting Investment Trends and Turning Points.New York:McGraw-Hill.
  29. Qi, M.,Wu, Y.(2006).Technical Trading-Rule Profitability, Data Snopping, and Reality Check:Evidence from the Foreign Exchange Market.Journal of Money, Credit and Banking,38,2135-2158.
  30. Rouwenhorst, K. G.(1999).Local Return Factors and Turnover in Emerging Stock Markets.Journal of Finance,54,1439-1464.
  31. Schulmeister, S.(2009).Profitability of Technical Stock Trading: Has It Moved from Daily to Intraday Data?.Review of Financial Economics,18(4),190-201.
  32. Sullivan, R.,Timmermann, A.,White, H.(1999).Data-Snooping, Technical Trading Rule Performance, and the Bootstrap.Journal of Finance,54,1647-1691.
  33. White, H.(2000).Reality Check for Data Snooping.Econometrica,68,1097-1126.
被引用次数
  1. 曾文賢、王友利(2014)。前行測試型的交易策略於外匯期貨市場之獲利性研究。證券市場發展季刊，26(3)，133-171。
  2. 陳能靜、陳秀淋、莊瑞珠(2012)。影響匯率反轉因素之分析：未預期總體訊息與技術指標。輔仁管理評論，19(1)，1-26。
print cancel