效率市場假說驗證:動態調整交易系統之全球股、匯市測試

Abstract

行為財務學(behavioral finance)與傳統技術分析都有相似的起源， 兩者皆導因於，假設人類的投資行為其實會受到外來環境影響，而產生傳統財務學者所認為的『不理性』行為；且兩者皆藉由試圖辨識人類行為的模式，以尋找可能的市場超額利潤。基於是傳統財務學的代表，效率市場假說(Efficient Market Hypothesis)一直被測試其真實性與可靠性，但其仍然是目前學術界未有肯定答案的問題。效率市場假說認為，『市場價格已經隱含了所有可取得資訊的影響力』，其意味著無人能對未來價格形成持續並成功地預測；另一方面，像技術分析這類的交易指標，其正是透過對過去價格走勢與市場型態的研究，試圖尋找未來可能的類似走勢，以期達到擊敗市場的目標。基於交易策略的超額報酬能視為預測能力的展現，交易指標應能當作效率市場假說的驗證方法。本論文透過創立一個『自動交易流程』，其包含『動態調整交易指標』與統計方法『決策樹(Classification and Regression Tree)』，以驗證目前全球股、匯市之超額報酬取得的可能性。本篇論文的結論是，我們所提供的方法的確在新興市場的股、匯市獲取極高之樣本外超額報酬，然而在已開發國家之股、匯市則無明顯擊敗市場報酬之能力;導致我們無法於，以開發國家獲取超額報酬的原因，可能可指向金融市場的反射理論(reflexivity)。

Behavioral finance and traditional technical trading indicators are similar in their roots. Both are rooted in the assumption that man acts for behavioral reasons in ways that may seem irrational by the standards of classical finance. Both of them approach financial markets by identifying patterns of human behavior to uncover opportunities of profits. On the behalf of classical finance, “Efficient Market Hypothesis” (EMH) has been testing for its validity, though it’s still an unsolved argument for academic finance now. The EMH states that the current market price incorporates all the information available, which leads to a conclusion that given the information available, no prediction of the future price changes can be made. On the other hand, trading indicator such as technical analysis, which is essentially the search for recurrent and predictable patterns in asset prices, attempts to forecast future price changes. To the extend that return of a trading strategy can be regarded as a measure of predictability, trading indicator can be seen as a test of the EMH. This paper attempts on creating an automated trading process, which includes “dynamic technical trading indicators” and statistical method “CART” (Classification and Regression Tree) to check the profitability on global equity and Currency Markets. We conclude that, our testing methods do make obvious positive profits on developing countries’ equity and foreign currency markets; the reason why our method can’t generate obvious positive profit in developed countries maybe can point to the “reflexivity” of financial market.