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    Please use this identifier to cite or link to this item: http://tkuir.lib.tku.edu.tw:8080/dspace/handle/987654321/118268

    Title: The profitability of Bollinger Bands: Evidence from the constituent stocks of Taiwan 50
    Authors: Ni, Yensen;Day, Min-Yuh;Huang, Paoyu;Yua, Shang-Ru
    Keywords: Bollinger bands;Market efficiency;Technical analysis;Investment strategy
    Date: 2020-01-07
    Issue Date: 2020-03-14 12:10:30 (UTC+8)
    Abstract: 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.
    Relation: Physica A: Statistical Mechanics and its Applications
    DOI: 10.1016/j.physa.2020.124144
    Appears in Collections:[Department of Management Sciences] Journal Article

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