台灣股市與期市之指數關卡效應實證研究

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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 臺灣股市與期市之指數關卡效應實證研究
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」。本研究驗證台灣股市的股價指數與期貨的股價期貨指數，共計十種指數，觀察是否具有價格關卡效應。希望可察覺當指數觸及百點關卡時，會呈現有類似支撐區、壓力區的「百點指數關卡效應」；同時藉由比較現貨與期貨市場，希望期貨指數比現貨市場指數更明顯存有關卡效應；且依據Fama的EMH，來檢視當市場具有效率時，就不會存在價格關卡效應。而實證結果如下所述：一、關卡效應在台灣市場之效果並不明顯。二、僅有「電子類指數」、「台股電子指數期貨」、「工業平均指數」等三種指數顯示出「略具」有呈現支撐區、壓力區的關卡效應。三、經本研究實證發現，現貨與期貨市場的比較，期貨市場的百點整數關卡效應並不比現貨市場還要明顯。四、由於十種指數中，並無任何一種指數全然強力支持百點整數關卡效應的存在，故依據效率市場假說（EMH），無法說明台灣的市場是不具效率的。 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.
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