The Profitability of Technical Analysis during Financial Bubbles

被引：1

作者：

Arshanapalli, Bala ^{[1
,2
]}

Lutey, Matthew ^{[3
]}

Nelson, William ^{[3
]}

Pollak, Micah ^{[4
]}

机构：

[1] Indiana Univ Northwest, Finance, Gary, IN 46408 USA

[2] Indiana Univ Northwest, Sch Business & Econ, Gary, IN 46408 USA

[3] Indiana Univ Northwest, Sch Business & Econ, Finance, Gary, IN USA

[4] Indiana Univ Northwest, Sch Business & Econ, Econ, Gary, IN USA

来源：

JOURNAL OF PORTFOLIO MANAGEMENT | 2020年 / 47卷 / 01期

关键词：

Developed markets; financial crises and financial market history; portfolio theory; technical analysis;

D O I：

10.3905/jpm.2020.1.176

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

This article examines the use of technical analysis, namely, a moving-average technique, to improve upon a buy- and-hold investment strategy during financial bubbles. Econometric techniques can identify financial bubbles in real time, and these techniques successfully identify commonly acknowledged bubbles in the US stock market. The authors find that technical analysis significantly improves investment returns over a buy-and-hold strategy during three of the five financial bubbles since 1928 and performs identically in the other two. The authors also demonstrate similar results using three international markets.

引用

页码：168 / 175

页数：8

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