市场环境、指标配合、个股特征与技术分析有效性

Market Circumstance,Tools' Simultaneous Using,Stock Characteristics and Effectiveness of Technical Analysis

本文利用LPM模型检验市场环境、指标配合、个股特征对技术分析有效性的影响。实证结果表明,市场环境的好坏对技术分析的有效性有重要影响,多头市场中技术分析的有效性比在空头市场或平衡市场中高。指标配合可以有效提升技术分析的有效性,而累计涨幅的大小对技术分析的有效性具有非线性效应。个股的业绩特征对技术分析至关重要,公司业绩好的个股,技术分析的有效性较高;而P/B、ROE、流通市值等特征对技术分析有效性并无显著影响。

Based on the LPM model, this paper tests the effect of market circumstance, tools’ simultaneous using, stock characteristics on the effectiveness of technical analysis. The result indicates that market circumstance is crucial to the effectiveness of technical analysis; simultaneous using of different tools can effectively promote the probability of successful trading; accumulative rise of stock price has nonlinear influence. Also,we find that some fundamental factors have significant impacts on the effectiveness of technical analysis, such as profit growth rate and revenue growth rate. However, P/B, ROE and market value appear to be insignificant.