English  |  正體中文  |  简体中文  |  Items with full text/Total items : 85748/114395 (75%)
Visitors : 22908070      Online Users : 172
RC Version 6.0 © Powered By DSPACE, MIT. Enhanced by NTU Library IR team.
Scope Tips:
  • please add "double quotation mark" for query phrases to get precise results
  • please goto advance search for comprehansive author search
  • Adv. Search
    HomeLoginUploadHelpAboutAdminister Goto mobile version
    Please use this identifier to cite or link to this item: http://nccur.lib.nccu.edu.tw/handle/140.119/122743


    Title: 葛蘭碧交易法則的檢驗與調整
    Examination and Adjustment On Granville’s Trading Rules
    Authors: 廖士安
    Liao, Shih-An
    Contributors: 胡聯國
    Hu, Len-Kuo
    廖士安
    Liao, Shih-An
    Keywords: 葛蘭碧法則
    技術分析
    股票市場
    Granville Rules
    Technical analysis
    Stock market
    Technical trading rules
    Date: 2019
    Issue Date: 2019-04-01 14:35:22 (UTC+8)
    Abstract: 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.
    Reference: 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
    Description: 碩士
    國立政治大學
    國際經營與貿易學系
    105351036
    Source URI: http://thesis.lib.nccu.edu.tw/record/#G0105351036
    Data Type: thesis
    DOI: 10.6814/THE.NCCU.IB.002.2019.F06
    Appears in Collections:[國際經營與貿易學系 ] 學位論文

    Files in This Item:

    File SizeFormat
    103601.pdf2482KbAdobe PDF0View/Open


    All items in 政大典藏 are protected by copyright, with all rights reserved.


    社群 sharing

    著作權政策宣告
    1.本網站之數位內容為國立政治大學所收錄之機構典藏,無償提供學術研究與公眾教育等公益性使用,惟仍請適度,合理使用本網站之內容,以尊重著作權人之權益。商業上之利用,則請先取得著作權人之授權。
    2.本網站之製作,已盡力防止侵害著作權人之權益,如仍發現本網站之數位內容有侵害著作權人權益情事者,請權利人通知本網站維護人員(nccur@nccu.edu.tw),維護人員將立即採取移除該數位著作等補救措施。
    DSpace Software Copyright © 2002-2004  MIT &  Hewlett-Packard  /   Enhanced by   NTU Library IR team Copyright ©   - Feedback