Modelling of the Impact of Technical Trend Signal on Shanghai Stock Market
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摘要: 中国股市中众多的技术分析派投资者提供了研究技术分析信息对股价影响的典型样本,文章以趋同性投资行为的合理预期为假设前提,通过建立基于技术信号的股价反应自适应预期模型,对上海股市对技术信号的反应进行实证分析。结果表明,上海股市对技术信号的反应较为敏感,当技术趋势信号发生较大的变化时,对股票价格运行的影响较为强烈。考虑到实际交易费用,只有少数投资者依靠技术分析获得一定的超常收益,大多数投资者利用技术信号进行操作时要承担相当大的风险。Abstract: The paper examines the impact of technical trend signals on Shanghai stock market using an adaptive expectation model based on consistent investment behaviors. The result shows that Shanghai stock market is sensitive to the technical signals. And as far as the trading charges are concerned, only the minority investors, with technical analysis, may possibly gain abnormal returns, while the majority operating according to technical trend signals would assume significant risks.
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Keywords:
- technical trend signal /
- adaptive expectation model /
- MACD
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[1] Spring M J. Technical Analysis Explained/The Successful Investor's Guide to Spotting Investment Trends and Turning Points [2] Sheifer A, Summers L H. The Noise Trader Approach to Finance [3] Michael Chark-sham, Wong. The Impact of Technical Trend on Excess Market Reaction [4] Fama E F. Permanent and Transitory Component of Stock Prices [5] Cochrane D, Orcutt G H. Application of Least-Squares Regressions to Relationships Containing Autocorrelated Errors Terms [6] 马向前, 任若恩. 基于市场效率的中国股市波动和发展阶段划分
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