摘要
文章以1990年12月至2008年3月上海证券交易所综合股价指数为研究对象,利用布劳克、拉科尼肖克和莱巴龙(1992)的简单技术分析交易规则:移动平均线(VMA、FMA)和阻力线—支撑线(TRB)。结果发现,对所有规则而言,买入信号下与卖出信号下的报酬之差都大于零。对TRB交易规则,买入信号下与卖出信号下的报酬之差在1%显著性水平下显著大于0;而对于VMA、FMA交易规则来说,买入信号下与卖出信号下的报酬之差在10%显著性水平下与0无显著差异。这表明技术分析阻力线—支撑线TRB交易规则有助于预测股价。
This paper test two of the simplest and most popular trading rules--moving average and trading range break-by utilizing the shanghai stock complex index from Nov. 1990 to Mar. 2008. We find that buyer signals consistently generate higher returns than sell signals. For TRB rules, the difference of buy signals and sell signals greater than zero at the 1 percent significance level using a two - tailed test; However, For VMA and FMA rules, the difference of buy signals and sell signals has no significance level with zero at the 10 percent significance level using a two -tailed test. It shows that TRB is useful to predict stock price.
出处
《华东经济管理》
CSSCI
2009年第5期135-140,共6页
East China Economic Management
