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    Please use this identifier to cite or link to this item: http://tkuir.lib.tku.edu.tw:8080/dspace/handle/987654321/4940

    Title: 價與量的交易策略:風險、摩擦或無效率
    Other Titles: Price and Volume Trading Strategies: Risk, Friction, or Inefficiency
    Authors: 顧廣平;楊馥如
    Contributors: 淡江大學財務金融學系
    Keywords: 交易策略;風險;市場摩擦;無效率市場;trading strategies;risk;market frictions;inefficient market
    Date: 2005
    Issue Date: 2009-03-16 11:23:39 (UTC+8)
    Abstract: 長久以來﹐財務學界與業界一直相信過去股票的價和量能夠提供有價值的資訊﹐但是對於如何處理與 解釋這些價與量資訊仍混沌不明。因此﹐本研究使用台灣股市日資料﹐評估各種價與量的交易策略之 績效。然後﹐我們對這些策略的異常利潤提出三種可能的解釋﹕風險﹑市場摩擦或無效率市場。 Financial academics and practitioners have long recognized that past price and volume may provide valuable information about a stock. But how price and volume information should be handled and interpreted is not clear. Therefore, using daily data from Taiwan stock markets, this research wish to evaluate the performance of various price and volume trading strategies. Then, we suggest three potential explanations for abnormal profits of these strategies﹕Risk, market frictions, or inefficient market.
    Appears in Collections:[財務金融學系暨研究所] 研究報告

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