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    Please use this identifier to cite or link to this item: http://tkuir.lib.tku.edu.tw:8080/dspace/handle/987654321/31690

    Title: 台灣股市與期市之指數關卡效應實證研究
    Other Titles: Empirical test of price barriers effect in Taiwan's stock and futures market
    Authors: 謝惠娟;Hsieh, Huei-chuan
    Contributors: 淡江大學財務金融學系碩士班
    徐靖志;Hsu, Ching-chih
    Date: 2005
    Issue Date: 2010-01-11 01:08:23 (UTC+8)
    Abstract: 「指數」除了提供投資人衡量價值變化的參考準則外,其起伏波動至某特定數值時,更加會成為影響投資人判斷市場為牛市(多頭)或熊市(空頭)的心理訊號。在市場分析師的金融評論中,經常提及市場指數對市場參與者具有指標性的特殊象徵意義,當價格指數落在某水準時,投資人會在該價格指數上,賦予心理上的額外期望,而在此我們稱此價格指數水準為「價格關卡」。


    The meaning of “INDEX” to the investors is measuring the changes of their asset prices. Besides, when it’s jumping to a certain value, it can be the sentiment signal for judging the status of market as a bull or bear. The commentaries of financial market analysts frequently imply the certain values of widely followed asset prices and aggregate market indices hold special significance for market participants. When indices attain certain price level, the investors always have extra expectation for earning excess return. The index level of sentiment-induced price is called “price barriers.”

    The study tests ten kinds of indices in Taiwan’s Stock and Futures Market to examine whether the price barriers exist. Through the study’s tests, I hope to observe the “support level” and “resistance level” when the indices attain the levels at multiples of 100. By comparing the markets of stock and futures, I hope to know the “price barriers effect” is more obvious in futures market than in stock market. Finally, according to the EMH issued by Fama in 1970, we know that when the market is efficient, the “price barriers effect” will not exist.

    The following is the study’s empirical results:
    1.The “price barriers effect” isn’t obvious in Taiwan’s markets of stock and futures.
    2.Only three kinds of the ten indices can show the slightly price barriers effect.
    3.The “price barriers effect” in futures market is no more evident than in stock market.
    4.Due to the lack of “price barriers effect”, we can’t indicate the market in Taiwan is inefficient.
    Appears in Collections:[財務金融學系暨研究所] 學位論文

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