《Profitability of simple technical trading rules of Chinese stock
exchange indexes》
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作者:
Hong Zhu (ECUST), Zhi-Qiang Jiang (ECUST), Sai-Ping Li (Academia
Sinica), Wei-Xing Zhou (ECUST)
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最新提交年份:
2015
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英文摘要:
Although technical trading rules have been widely used by practitioners in financial markets, their profitability still remains controversial. We here investigate the profitability of moving average (MA) and trading range break (TRB) rules by using the Shanghai Stock Exchange Composite Index (SHCI) from May 21, 1992 through December 31, 2013 and Shenzhen Stock Exchange Composite Index (SZCI) from April 3, 1991 through December 31, 2013. The $t$-test is adopted to check whether the mean returns which are conditioned on the trading signals are significantly different from unconditioned returns and whether the mean returns conditioned on the buy signals are significantly different from the mean returns conditioned on the sell signals. We find that TRB rules outperform MA rules and short-term variable moving average (VMA) rules outperform long-term VMA rules. By applying White\'s Reality Check test and accounting for the data snooping effects, we find that the best trading rule outperforms the buy-and-hold strategy when transaction costs are not taken into consideration. Once transaction costs are included, trading profits will be eliminated completely. Our analysis suggests that simple trading rules like MA and TRB cannot beat the standard buy-and-hold strategy for the Chinese stock exchange indexes.
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中文摘要:
尽管技术交易规则已被金融市场从业人员广泛使用,但其盈利能力仍存在争议。本文利用1992年5月21日至2013年12月31日的上海证券交易所综合指数(SHCI)和1991年4月3日至2013年12月31日的深圳证券交易所综合指数(SZCI),研究了移动平均线(MA)和交易区间突破(TRB)规则的盈利能力。采用t$检验,检查以交易信号为条件的平均回报是否与非条件回报显著不同,以及以买入信号为条件的平均回报是否与以卖出信号为条件的平均回报显著不同。我们发现,TRB规则优于MA规则,短期可变移动平均(VMA)规则优于长期VMA规则。通过运用White的现实检验和数据窥探效应,我们发现在不考虑交易成本的情况下,最佳交易规则优于买入并持有策略。一旦将交易成本包括在内,交易利润将被完全消除。我们的分析表明,像MA和TRB这样简单的交易规则无法击败中国证券交易所指数的标准买入持有策略。
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分类信息:
一级分类:Quantitative Finance 数量金融学
二级分类:Trading and Market Microstructure 交易与市场微观结构
分类描述:Market microstructure, liquidity, exchange and auction design, automated trading, agent-based modeling and market-making
市场微观结构,流动性,交易和拍卖设计,自动化交易,基于代理的建模和做市
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一级分类:Quantitative Finance 数量金融学
二级分类:Statistical Finance 统计金融
分类描述:Statistical, econometric and econophysics analyses with applications to financial markets and economic data
统计、计量经济学和经济物理学分析及其在金融市场和经济数据中的应用
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