文献类型：期刊文献

英文题名：Profitability of simple technical trading rules of Chinese stock exchange indexes

作者：Zhu, Hong[1];Jiang, Zhi-Qiang[1,2];Li, Sai-Ping[2,3];Zhou, Wei-Xing[1,2,4]

机构：[1]E China Univ Sci & Technol, Sch Business, Dept Finance, Shanghai 200237, Peoples R China;[2]E China Univ Sci & Technol, Res Ctr Econophys, Shanghai 200237, Peoples R China;[3]Acad Sinica, Inst Phys, Taipei 11529, Taiwan;[4]E China Univ Sci & Technol, Sch Sci, Dept Math, Shanghai 200237, Peoples R China

年份：2015

卷号：439

起止页码：75

外文期刊名：PHYSICA A-STATISTICAL MECHANICS AND ITS APPLICATIONS

收录：;EI(收录号：20153501210525);WOS:【SSCI(收录号:WOS:000362055900009)，SCI-EXPANDED(收录号:WOS:000362055900009)】；

基金：This work was partially supported by the National Natural Science Foundation of China (11075054 and 71131007), Shanghai "Chen Guang" Project (2012CG34), Program for Changjiang Scholars and Innovative Research Team in University (IRT1028), China Scholarship Council (201406745014), and the Fundamental Research Funds for the Central Universities.

语种：英文

外文关键词：Econophysics; Technical trading rules; Profitability; White's Reality Check; Bootstrap; Transaction costs

摘要：Although technical trading rules have been widely used by practitioners in financial markets, their profitability still remains controversial. We here investigate the profitability of moving average (MA) and trading range break (TRB) rules by using the Shanghai Stock Exchange Composite Index (SHCI) from May 21, 1992 through December 31, 2013 and Shenzhen Stock Exchange Component Index (SZCI) from April 3, 1991 through December 31, 2013. The t-test is adopted to check whether the mean returns which are conditioned on the trading signals are significantly different from unconditioned returns and whether the mean returns conditioned on the buy signals are significantly different from the mean returns conditioned on the sell signals. We find that TRB rules outperform MA rules and short-term variable moving average (VMA) rules outperform long-term VMA rules. By applying White's Reality Check test and accounting for the data snooping effects, we find that the best trading rule outperforms the buy-and-hold strategy when transaction costs are not taken into consideration. Once transaction costs are included, trading profits will be eliminated completely. Our analysis suggests that simple trading rules like MA and TRB cannot beat the standard buy-and-hold strategy for the Chinese stock exchange indexes. (C) 2015 Elsevier B.V. All rights reserved.