An Empirical Study on the Effectiveness of Technical Analysis in China's Stock Markets

被引：0
|
作者：
Chen, Kai [1 ]
Hui, Guangping [1 ]
机构：
[1] Nanjing Univ Sci & Technol, Sch Econ & Management, Nanjing, Jiangsu, Peoples R China
来源：
PROCEEDINGS OF THE 2017 INTERNATIONAL CONFERENCE ON MANAGEMENT SCIENCE AND MANAGEMENT INNOVATION (MSMI 2017) | 2017年 / 31卷
关键词：
technical analysis; market effectiveness; bootstrap nonparametric test; RETURNS; RULES;
D O I：
暂无
中图分类号：
F [经济];
学科分类号：
02 ;
摘要：
The weak form of the EMH proclaims that it is not possible to sustain above normal returns over the long run. However, in recent years, scholars have found that technical analysis trading strategy can obtain significant excess returns in different markets. In this paper, we use the CSI 300 Index, Moving average trading strategy, KDJ strategy and MACD strategy to study the weak effective of China's stock market. Through empirical research, it is concluded that the some technical analysis can obtain significant excess returns in the short term, and the Chinese stock market has not yet reached the weak efficient market.
引用
收藏
页码：134 / 140
页数：7
相关论文
共 50 条
  • [1] An Empirical Study on the Validity of China Stock Markets
    Li Jingjing
    Zhu Konglai
    [J]. RECENT ADVANCE IN STATISTICS APPLICATION AND RELATED AREAS, PTS 1 AND 2, 2011, : 367 - +
  • [2] Empirical tests of CAPM for China's stock markets
    不详
    [J]. PORTFOLIO SELECTION AND ASSET PRICING, 2002, 514 : 163 - 175
  • [3] The impact of data snooping on the testing of technical analysis: An empirical study of Asian stock markets
    Chen, Cheng-Wei
    Huang, Chin-Sheng
    Lai, Hung-Wei
    [J]. JOURNAL OF ASIAN ECONOMICS, 2009, 20 (05) : 580 - 591
  • [4] A Study on the Earnings Momentum in China's Stock Markets
    Ke, Wen-Chyan
    Hsieh, Chun-Kuei
    Chan, Chang
    Huang, Shang-Chieh
    [J]. JOURNAL OF ACCOUNTING REVIEW, 2018, 67 : 79 - 122
  • [5] CAViaR and the Empirical Study on China's Stock Market
    Wu, Dongyu
    [J]. 2020 3RD INTERNATIONAL CONFERENCE ON COMPUTER INFORMATION SCIENCE AND APPLICATION TECHNOLOGY (CISAT) 2020, 2020, 1634
  • [6] Dynamic connectedness between China's commodity markets and China's sectoral stock markets: A multidimensional analysis
    Shao, Liuguo
    Zhang, Hua
    Chang, Senfeng
    Wang, Ziyang
    [J]. INTERNATIONAL JOURNAL OF FINANCE & ECONOMICS, 2024, 29 (01) : 903 - 926
  • [7] Test the Effectiveness of China Securities Regulatory Commission Approach to Regulate China's Stock Markets
    Li Guoping
    [J]. ADVANCES IN COMPUTATIONAL ENVIRONMENT SCIENCE, 2012, 142 : 35 - 40
  • [8] Empirical Study on Multifractal Properties of Stock Markets
    Wang Xudong
    Hui Xiaofeng
    [J]. PROCEEDINGS OF THE 8TH (2016) INTERNATIONAL CONFERENCE ON FINANCIAL RISK AND CORPORATE FINANCE MANAGEMENT, 2016, : 134 - 139
  • [9] An Empirical Study on Value Functions of Stock Markets
    Wen Fenghua
    Rao Guitian
    Yang Xiaoguang
    [J]. ADVANCED RESEARCH ON INDUSTRY, INFORMATION SYSTEMS AND MATERIAL ENGINEERING, PTS 1-7, 2011, 204-210 : 899 - 906
  • [10] An empirical analysis of the volatility spillover effect between primary stock markets abroad and China
    Ke, Jian
    Wang, Liming
    Murray, Louis
    [J]. JOURNAL OF CHINESE ECONOMIC AND BUSINESS STUDIES, 2010, 8 (03) : 315 - 333
12345