技术分析与超额收益率研究进展

THE RESEARCH ON TECHNICAL ANALYSIS AND EXCESS RETURNS

技术分析能否帮助投资者获得超额收益率是金融理论界广泛关注的问题之一。早期理论界主要采用传统t检验方法,得出技术分析无效的结论;随着计算机的普遍应用,布鲁克等人(Brock et al)基于传统t检验存在的计量误差,采取脱靴检验方法,认为技术分析能够带来显著的超额收益率,随后,有学者认为股票收益率呈现非线性相关的特征,采用前向人工神经网络模型进行分析,得到技术分析有效的结论;然而,数据窥查效应的剔除使得技术分析获得的超额收益率减少,遗传规划模型的应用也使得技术分析有效的结论受到了较大的质疑。因此,目前对于技术分析是否有效这一问题,并没有形成一致的结论,依然有较大的研究空间。

Whether technical analysis can bring investors excess returns is one of the financial prob- lems widely concerned by theorists. Early studies mainly adopted traditional t-test method, leading to the conclusion that technical analysis was invalid; while along with the widespread computer application, many scholars, such as Brock used the bootstrap method based on the measurement error of t-test, drew opposite conclusions. Subsequently, some researchers paid attention to the non-linear correlation of stock yields, by using the feed forward artificial neural network model, got the idea that technical analysis was effective. However, the reduced extra yields by elimination of data snooping and application of genetic programming model made the effective conclusion be questioned largely. So far, there is no consistent conclusion in terms of this problem that if technical analysis is valid, leaving a large researching space.