|摘要: ||大多數的投資人或多或少會採用技術分析來交易股票。此外，個別投資者也往往會依照技術指標所發出的訊號來決定交易的時機。雖然技術分析在實務上廣泛地被採用，然而技術分析在學術研究上卻相當地的有限。因此，我們努力探討更多有關於技術交易規則，特別針對在技術分析中廣泛被使用的Moving Average (MA)交易規則。|
Most of market participants, more or less, might trade stocks in accordance with the technical analysis. In addition, individual investors often decide the trading timing in accordance with the trading signals emitted by technical indicators. Even though technical analysis are wildly employed in the real world; however, the technical analysis issues investigated seem to be limited in the academic aspects. Therefore, we endeavor to explore more information released from technical trading rules, especially in the Moving Average (MA) trading rules, which would be regarded as one of the popular trading rules in technical analysis.
Essay one employ the MA trading rules for investigating whether investors are able to make profits for the constituent stocks of three representative indices including the DJ30, the FTSE100, and the SSE100. The results show that market participants had better buy the constituent stocks of SSE50 as the dead cross presented, the phenomena might be caused by the herding behaviors for individual investors in China. Moreover, we reveal that the negative 5-days mean returns would be enlarged as the higher daily returns are shown in the golden cross days, which are emitted by the MA(5,20) trading rule for the constituent stocks of FTSE100 and DJ30. We infer that the results might be resulted from overreaction phenomena appeared in the golden-cross day.
In essay two, while analyzing the data periods including the pre-financial and financial crisis periods by Variable-length MA(VMA) trading rules, the results show that investors might make profits as buying signals rather than as selling signals shown for the Brazil, Russia, India and China (BRIC) stock markets. However, investors may find it difficult to make profits in a financial crisis period, since the significant results shown during the full period might not reveal the differences between the pre-financial and financial crisis periods.
In sum, we infer that due to the Internationalization, Liberalization, technology innovation in the worldwide share markets; therefore, the share market are quite close to weak market efficiency, as shown the few significant results presented in the essay one and essay two. However, we still deem that technical analysis issues are worthwhile for investigation, since if all of the technical indicators do not matter in the real world, then it is impossible so many resources related to technical analysis appeared in the web.