Title :
Can Dual Moving Averages Generate Extra Returns? - Evidence from the Shanghai Stock Market
Author_Institution :
Sch. of Finance, Zhejiang Gongshang Univ., Hangzhou, China
Abstract :
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.
Keywords :
economic indicators; investment; moving average processes; securities trading; Chinese investors; Shanghai composite index; Shanghai stock market; bear market; bull market; buy-and-hold strategy; dual moving average models; fluctuation market; future stock price movements; market returns; technical stock market trading; Banking; Finance; Indexes; Profitability; Security; Stock markets; buy-and-hold strategy; dual moving averages; extra return; market efficiency;
Conference_Titel :
Networking and Distributed Computing (ICNDC), 2010 First International Conference on
Conference_Location :
Hangzhou
Print_ISBN :
978-1-4244-8382-2
DOI :
10.1109/ICNDC.2010.62
