技术指标可以战胜市场吗?——兼论中国证券市场弱式有效性的变化

Can technology index overcome market?--on China security market weak efficiency change

文章以上证综指的历史数据为样本,研究了证券技术分析中常用的均线指标(MA)和随机指标(KDJ)的获利能力及其变化。结果表明:均线指标能获得显著超越市场平均水平的收益,而随机指标随着市场发展获利能力逐步减弱,这表明我国证券市场趋于更加有效,但仍未达到弱式有效。此外,研究发现,基于技术指标的多头和空头收益具有相同分布,但实行涨跌停板制度后,收益分布发生了显著变化。

This paper focuses on the profitability and variation of moving average and stochastic indi- cators which is commonly used in technical analysis. Using Shanghai Composite Index data, it is found that moving average indicator do have the ability to get profit significantly above the market average returns, but the profitability of stochastic indicator gradual- lyweakened with the development of the market. This suggests that over time China＇s securities markets tend to be more effective, but it fails to achieve an effective level of the weak. Moreover, The benefits of long and short based on the technical indicators have the same distribution, and it changed dramatically af- ter raising-falling limit.