Can Dual Moving Averages Generate Extra Returns? - Evidence from the Shanghai Stock Market

Author

Jiang Meiyun

Author_Institution

Sch. of Finance, Zhejiang Gongshang Univ., Hangzhou, China

fYear

2010

fDate

21-24 Oct. 2010

Firstpage

276

Lastpage

279

Abstract

The Moving Average is the most frequently used indicator of Chinese investors of the stock market. This paper applies the dual Moving Average models to test the effectiveness of technical trading in stock market in China. The study is based on Shanghai composite Index (SZZS) over the period of January 1997 to December 2009. The results show that the dual MAs do not possess widespread ability to profitably forecast future stock price movements in most of the discussing years of this study. It can be used to generate extra returns in “bear” or “fluctuation” market, but not in “bull” market. The buy-and-hold strategy is the best in “bull” market.

Keywords

economic indicators; investment; moving average processes; securities trading; Chinese investors; Shanghai composite index; Shanghai stock market; bear market; bull market; buy-and-hold strategy; dual moving average models; fluctuation market; future stock price movements; market returns; technical stock market trading; Banking; Finance; Indexes; Profitability; Security; Stock markets; buy-and-hold strategy; dual moving averages; extra return; market efficiency;

fLanguage

English

Publisher

ieee

Conference_Titel

Networking and Distributed Computing (ICNDC), 2010 First International Conference on

Conference_Location

Hangzhou

Print_ISBN

978-1-4244-8382-2

Type

conf

DOI

10.1109/ICNDC.2010.62

Filename

5645380