Market timing: a test of a charting heuristic

被引：29

作者：

Leigh, W

Paz, N

Purvis, R

机构：

[1] Univ Cent Florida, Coll Business, Dept Management Informat Syst, Orlando, FL 32816 USA

[2] Clemson Univ, Clemson, SC USA

来源：

ECONOMICS LETTERS | 2002年 / 77卷 / 01期

关键词：

technical trading; security markets;

D O I：

10.1016/S0165-1765(02)00110-6

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

We implement a graphical (or 'charting') heuristic, the 'bull flag', which accepts a particular pattern of historical prices as a signal for a future market price increase, test it with several years of New York Stock Exchange Composite Index history, and find positive results. The results support the validity of technical analysis for stock market price prediction and fail to confirm the efficient markets hypothesis. (C) 2002 Elsevier Science B.V. All rights reserved.

引用

页码：55 / 63

页数：9

共 11 条

[1] SIMPLE TECHNICAL TRADING RULES AND THE STOCHASTIC PROPERTIES OF STOCK RETURNS [J].

BROCK, W ;

LAKONISHOK, J ;

LEBARON, B .

JOURNAL OF FINANCE, 1992, 47 (05) :1731-1764

[2]

DOWNES J, 1998, BARRONS ED SERIES

[3]

EDWARDS RD, 1997, TECHNICAL ANAL STOCK

[4]

Franklin R, 2001, J INFORM ETHICS, V10, P4

[5] Optimization of technical trading strategies and the profitability in security markets [J].

Gencay, R .

ECONOMICS LETTERS, 1998, 59 (02) :249-254

[6]

Hart P.E., 1973, Pattern recognition and scene analysis

[7] Bad news travels slowly: Size, analyst coverage, and the profitability of momentum strategies [J].

Hong, H ;

Lim, T ;

Stein, JC .

JOURNAL OF FINANCE, 2000, 55 (01) :265-295

[8] A unified theory of underreaction, momentum trading, and overreaction in asset markets [J].

Hong, H ;

Stein, JC .

JOURNAL OF FINANCE, 1999, 54 (06) :2143-2184

[9] Foundations of technical analysis: Computational algorithms, statistical inference, and empirical implementation [J].

Lo, AW ;

Mamaysky, H ;

Wang, J .

JOURNAL OF FINANCE, 2000, 55 (04) :1705-1765

[10] NAIVE TRADING RULES IN FINANCIAL-MARKETS AND WIENER-KOLMOGOROV PREDICTION-THEORY - A STUDY OF TECHNICAL ANALYSIS [J].

NEFTCI, SN .

JOURNAL OF BUSINESS, 1991, 64 (04) :549-571

← 1 2 →