我国股票市场技术分析交易策略实证研究

发布时间：2018-07-04 13:52

本文选题：技术分析 + 技术指标　；参考：《复旦大学》2014年硕士论文

【摘要】：现代资本市场理论和投资实践之间的重大分歧之一,就是有效市场假说与技术分析之间的矛盾。本文首先在对技术分析有效性研究的早期和近期文献进行综述的基础上,发现普遍认为中国资本市场未达到弱势有效。其次,基于中国资本市场产业链相关选取股票的实证研究表明,使用默认参数的移动平均指标、平滑异同平均指标、相对强弱指标和乖离率指标绩效显著优于买入持有策略绩效,同时优于当期上证指数收益率,即能获得超额收益,得出在中国资本市场上技术分析指标是有效的结论。最后,在试图研究股票特性与技术分析交易策略之间的联系时,发现在流通市值较小的股票或较为活跃的股票上运用乖离率交易策略能获得较高的超额收益率。
[Abstract]:One of the major differences between modern capital market theory and investment practice is the contradiction between efficient market hypothesis and technical analysis. Based on a review of the early and recent literatures on the effectiveness of technical analysis, this paper finds that China's capital market is generally considered to be weak and effective. Secondly, based on the empirical study of stock selection related to the industrial chain of China's capital market, it is shown that the moving average index with the default parameters is smooth, same or different average index. The performance of the relative strength index and the rate of departure index is significantly better than that of the buying and holding strategy and the return rate of the current Shanghai Stock Exchange Index, that is, the excess return can be obtained. The conclusion is that the technical analysis index is effective in the Chinese capital market. Finally, when we try to study the relationship between stock characteristics and technical analysis of trading strategy, it is found that the higher excess return rate can be obtained by using the perverse rate trading strategy in stocks with smaller circulating market value or more active stocks.
【学位授予单位】：复旦大学
【学位级别】：硕士
【学位授予年份】：2014
【分类号】：F832.51

【共引文献】