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    Please use this identifier to cite or link to this item: http://tkuir.lib.tku.edu.tw:8080/dspace/handle/987654321/113715

    Title: MA trading rules, herding behaviors, and stock market overreaction
    Authors: Yensen Ni;Yi-Ching Liao;Paoyu Huang
    Keywords: Moving average;Herding behavior;Overreaction
    Date: 2015-09
    Issue Date: 2018-06-21 12:10:40 (UTC+8)
    Abstract: We determine whether investors profit from employing moving average trading rules that consider either “wide” or “in-depth” concerns. Our remarkable findings are as follows: First, investors benefit from purchasing the constituent stocks of SSE50 as dead crosses emerge. These stocks may be the result of the herding behaviors of individual investors who account for over 80% of investors in China's stock markets. Second, negative weekly returns increase in trading the constituent stocks of DJ30 and FTSE100 because returns increase considerably on golden-cross days as a result of stock price overreaction. These results remain robust by concerning investors' risk aversion, and even high risk aversion as investors suffer losses. In addition, our findings imply that stock market overreaction and herding behaviors are incorporated into technical analysis.
    Relation: International Review of Economics and Finance 39, p.253-265
    DOI: doi.org/10.1016/j.iref.2015.04.009
    Appears in Collections:[Department of Management Sciences] Journal Article

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