The information content of technical trading rules: Evidence from US stock markets

机译：技术交易规则的信息内容：来自美国股票市场的证据

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This paper examines the predictive power of momentum indicators, a kind of technical trading rules measuring short-term momentum, on three popular US stock market indices, the Dow Jones Industrial Average, Standard & Poor's 500 Composite Index, and NASDAQ Composite Index. Generally, the main findings indicate that returns conditional these trading rules are significantly different from unconditional returns. Null models, such as random walk, first-order autocorrelation, and GARCH-M, cannot explain the excess profit made by these rules.

机译：本文研究了动量指标的预测力量，一种技术交易规则，衡量短期势头，三个受欢迎的美国股票市场指数，道琼斯工业平均值，标准普尔500种复合指数，纳斯达克复合指数。通常，主要发现表明，返回条件这些交易规则与无条件回报有很大差异。无效模型，如随机散步，一阶自相关和加库克-M无法解释这些规则的过剩利润。

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《International Conference on Business Management and Electronic Information》|2011年||共4页
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作者
Yong Ye;
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原文格式 PDF
正文语种
中图分类 F270.7-53;
关键词
Momentum Indicators; Return Predictability; Technical analysis;

机译：动量指标;返回可预测性;技术分析;

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4. The information content of technical trading rules: Evidence from US stock markets [C] . Yong Ye 2011 International Conference on Business Management and Electronic Information . 2011

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5. Stock price, volatility and volume: The profitability of technical trading rules using bootstrap methodology. [D] . Kwon, Ki-Yeol. 1999

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6. Performance of technical trading rules: evidence from Southeast Asian stock markets [O] . Piyapas Tharavanij, Vasan Siraprapasiri, Kittichai Rajchamaha -1

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机译：股票收益非线性动态技术交易规则：来自G-7股票市场的证据

The information content of technical trading rules: Evidence from US stock markets

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