Can dual moving averages generate extra returns ? Evidence from the Shanghai Stock Market
The Moving Average is the most frequently used indicator of Chinese investors of the stock market This paper applies the dual Moving Average models to test the effectiveness of technical trading in stock market in China. The study is based on Shanghai composite Index (SZZS) over the period of January 1997 to December 2009. The results show that the dual MAs do not possess widespread ability to profitably forecast future stock price movements in most of the discussing years of this study. It can be used to generate extra returns in bear or fluctuation market, but not in bull market The buy-and-hold strategy is the best in bull market
dual moving averages buy-and-hold strategy: extra return market efficiency
Jiangmeiyun
School of Finance Zhejiang Gongshang University Hangzhou, China
国际会议
杭州
英文
276-279
2010-10-21（万方平台首次上网日期，不代表论文的发表时间）