Profits of Trading Strategies Based on Market Sentiments and Technical Analysis
0
조회
0
다운로드
2
인용
0
참고문헌
키워드
초록
This study investigates whether simple moving average trading rules and trading signals generated from market sentiments in China generate excess returns. The results indicate low correlations among the signals generated from the two sources. Trading strategies following signals from market sentiments alone do not generate excess returns over a buy-and-hold strategy, while certain technical signals do. Furthermore, trading signals jointly generated from market sentiments and technical analysis can yield significantly higher returns than a buy-and-hold strategy and signals generated solely from technical analysis.
Abstract
This study investigates whether simple moving average trading rules and trading signals generated from market sentiments in China generate excess returns. The results indicate low correlations among the signals generated from the two sources. Trading strategies following signals from market sentiments alone do not generate excess returns over a buy-and-hold strategy, while certain technical signals do. Furthermore, trading signals jointly generated from market sentiments and technical analysis can yield significantly higher returns than a buy-and-hold strategy and signals generated solely from technical analysis.
참고문헌 (27)
- Abarbanell, J. S., "Tests of analysts’ overreaction", underreaction to earnings information as an explanation for anomalous stock price behavior, 1992, pp.47, 1181~1207
- Amir, E., "Overreaction and underreaction in analysts’ forecasts", Journal of Economic Behavior & Organization, 37, pp.333~347 (1998)
- Bao, Ben-Hsien, "The usefulness of earnings and book value for equity valuation in emerging capital markets : Evidence from listed companies in the People’s Republic of China", Journal of International Financial Management & Accounting, 10, pp.85~104 (1999)
- Bessembinder, H., "The profitability of technical trading rules in the Asian stock markets", Pacific-Basin Finance Journal, 3, pp.257~284 (1995)
- Bessembinder, H., "Market efficiency and the returns to technical analysis", Financial Management, 27 (1998)
- Bjerring, J. H., "Stock prices and financial analysts’ recommendations", Journal of Finance, 38, pp.187~204 (1983)
- Bris, A., "Efficiency and the bear : Short sales and markets around the world", The Journal of Finance, 62 (2007)
- Brock, W., "Simple technical trading rules and the stochastic properties of stock returns", Journal of Finance, 47, pp.1731~1764 (1992)
- Brown, G. W., "Investor sentiment and the near-term stock market", Journal of Empirical Finance, 11, pp.1~27 (2004)
- Cai, B., "Market efficiency and returns to simple technical trading rules: Further evidence from U.S., U.K., Asian and Chinese stock markets", Asia-Pacific Financial Markets, 12, pp.45~60 (2005)
- De Bondt, W. F. M., "Do security analysts overreact?", American Economic Review, 80, pp.52~57 (1990)
- De Long, "Noise trader risk in financial markets", Journal of Political Economy, 98, pp.703~738 (1990)
- De Long, "The survival of noise traders in financial markets", Journal of Business, 64, pp.1~19 (1991)
- Fama, Eugene F., "Efficient capital markets : A review of theory and empirical work", Journal of Finance, 25, pp.383~417 (1970)
- Firth, M., "Financial statement frauds and auditor sanctions : An analysis of enforcement actions in China", Journal of Business Ethics, 62, pp.367~381 (2005)
- Hudson, R., "A note on the weak form efficiency of capital markets : The application of simple technical trading rules to UK stock prices — 1935 to 1994", Journal of Banking and Finance, 20, pp.1121~1132 (1996)
- Jegadeesh, N., "Value of analyst recommendations : International evidence", Journal of Financial Markets, 9, pp.274~309 (2006)
- Jensen, M. C., "Agency costs of free cash flow, corporate finance, and takeovers", American Economic Review, 76, pp.323~329 (1986)
- Levich, R. M., "The significance of technical trading-rule profits in the foreign exchange market : A bootstrap approach", Journal of International Money and Finance, 12, pp.451~474 (1993)
- Li, X., "‘focus’(jiaodian fangtan)and the changes in the Chinese television industry", Journal of Contemporary China, 11, pp.17~34 (2002)
- Lin, J. Z., "Financial disclosure and accounting harmonization : Cases of three listed companies in China", Managerial Auditing Journal, 16, pp.263~273 (2001)
- The profitability of technical analysis: A review, "Park, Cheol-Ho", University of Illinois at Urbana-Champaign, ~ (2004)
- Ratner, M., "Tests of technical trading strategies in the emerging equity markets of Latin America and Asia", Journal of Banking & Finance, 23, pp.1887~1905 (1999)
- Schipper, K., "Commentary on analysts’ forecasts", Accounting Horizons, 5, pp.105~121 (1991)
- Tetlock, P. C., "Giving content to investor sentiment : The role of media in the stock market", The Journal of Finance, 62 (2007)
- Tian, G. G., "Market efficiency and the returns to simple technical trading rules: New evidence from U.S. equity market and Chinese equity markets", Asia-Pacific Financial Markets, 9, pp.241~258 (2002)
- Working, H., "A theory of anticipatory prices", The American Economic Review, 48, pp.188~199 (1958)
