The Application of the Combining Grey Relational Analysis with Moving Average Lines - An Empirical Study of the Stocks and the Metal Futures Markets
| Autor: | Chia-hao Cheng, 鄭家豪 |
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| Rok vydání: | 2007 |
| Druh dokumentu: | 學位論文 ; thesis |
| Popis: | 95 This research pays attention to the technical analysis in order to the convenience of the investment, hence uses a basal technique analytical tool- Move Average Line to carry on an analytical discussion. Besides, owing to the asymmetric information may exist in the market, the study will try to combine the Move Average Line with the Gray Relation Analytical Method. In the substantial case, this research is divided into bear market (2000-2002 A.D.) and the bull market (2003-2006 A.D.), with day price data of 11 stocks in Taiwan and the gold futures and silver futures of TOCOM for study objects to carry on the discussion about effectiveness for investitive strategies. The results are as follows: 1. In addition to the silver futures in the bear market period, 12 other markets all do not answer to the weak-form efficient market hypothesis. 2. The investitive performance of the Moving Average Line based on the Gray Relation Analytical Method is better than what the original Moving Average Line creates. 3. For more benefit, the different market needs a different average line set. 4. The stop loss strategy is an absolute necessity. 5. The market situation (bear market or bull market) may well relate with the weak-form efficient market hypothesis. |
| Databáze: | Networked Digital Library of Theses & Dissertations |
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