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    題名: The profitability of Bollinger Bands: Evidence from the constituent stocks of Taiwan 50
    作者: Ni, Yensen;Day, Min-Yuh;Huang, Paoyu;Yua, Shang-Ru
    關鍵詞: Bollinger bands;Market efficiency;Technical analysis;Investment strategy
    日期: 2020-01-07
    上傳時間: 2020-03-14 12:10:30 (UTC+8)
    摘要: We employ the constituent stocks of Taiwan 50 as our sample and explore if investors can beat the market by trading them as trading signals emitted by Bollinger Bands (BBs). Results reveal that investors might beat the market by taking long positions on stocks as share prices hit the lower BBs, as significantly shown in the positive abnormal returns. In addition, investors might also take the long positions instead of short positions when share prices reach the upper BBs. Thus, investors should employ momentum strategies instead of contrarian strategies while hitting upper BBs.
    關聯: Physica A: Statistical Mechanics and its Applications
    DOI: 10.1016/j.physa.2020.124144
    顯示於類別:[管理科學學系暨研究所] 期刊論文

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