umu.sePublications
Change search
CiteExportLink to record
Permanent link

Direct link
Cite
Citation style
  • apa
  • ieee
  • modern-language-association-8th-edition
  • vancouver
  • Other style
More styles
Language
  • de-DE
  • en-GB
  • en-US
  • fi-FI
  • nn-NO
  • nn-NB
  • sv-SE
  • Other locale
More languages
Output format
  • html
  • text
  • asciidoc
  • rtf
The Performance of Technical Analysis: A case study in Chinese domestic A share
Umeå University, Faculty of Social Sciences, Umeå School of Business. (Master's Programme in Finance)
Umeå University, Faculty of Social Sciences, Umeå School of Business. (Master's Programme in Finance)
2010 (English)Independent thesis Advanced level (degree of Master (One Year)), 10 credits / 15 HE creditsStudent thesis
Abstract [en]

In this thesis, we conduct a case study by applying simple technical trading rules on Chinese stock market. The technical trading rules we tested are moving average rules and trading range breakout rules. The stock indices we tested are SSE A (Shanghai A) and SZSE (Shenzhen A) share, these shares are limited to the Chinese domestic traders. Our main trading rule frameworks are mainly from Brock, Lakonishok& Lebaron (1992), which including the most basic technical trading rules and covered various length of period, however we add the 25 days moving average to our frame work. We obtained our data from DataStream; the data are the daily closing prices of two indices we mentioned above.

We compared the mean return and Sharpe ratio with buy and hold. We further calculated breakeven transaction costs to test whether the technical trading rules can still add wealth to investors after adjusting the transaction costs. Our results showed that most technical trading rules perform better than buy and hold. VMA perform better than FMA and TRB, short period (25 and 50 days) performed better than longer period. On mean return, our data violated the assumption of parametric statistical test. We performed non-parametric tests, all the trading rules showed statistical significance at 95% level than buy and hold except FMA (1, 25,0), all the trading rules resulted higher Sharpe ratio than buy and hold. On transaction costs, 7 trading rules on SSE A are performed poorer than buy and hold, all the other rules provided positive breakeven transaction costs. Across the entire trading rule, both stock markets offered positive break-even transaction costs, 0.436% for SSE A and 1.369% for SZSE A. and they are both higher than the maximum transaction costs one bears.

Place, publisher, year, edition, pages
2010. , 53 p.
Keyword [en]
Technical analysis, Chinese stock market, Moving average, Trading range breakout, Sharpe ratio, mean return
National Category
Business Administration
Identifiers
URN: urn:nbn:se:umu:diva-35658OAI: oai:DiVA.org:umu-35658DiVA: diva2:345968
Presentation
2010-01-27, 06:29 (English)
Uppsok
Social and Behavioural Science, Law
Supervisors
Examiners
Available from: 2010-09-01 Created: 2010-08-30 Last updated: 2010-09-01Bibliographically approved

Open Access in DiVA

fulltext(362 kB)518 downloads
File information
File name FULLTEXT01.pdfFile size 362 kBChecksum SHA-512
336c8165c19a5d57903114d3b77e6f9fd477508d54c3cf41919ac1340814a8342f8baa715e081d3f1efb727a3d3c94034a9c80750dfef8e85d4c9ea526cce099
Type fulltextMimetype application/pdf

Search in DiVA

By author/editor
Geng, HaomingWang, Cheng
By organisation
Umeå School of Business
Business Administration

Search outside of DiVA

GoogleGoogle Scholar
Total: 518 downloads
The number of downloads is the sum of all downloads of full texts. It may include eg previous versions that are now no longer available

urn-nbn

Altmetric score

urn-nbn
Total: 416 hits
CiteExportLink to record
Permanent link

Direct link
Cite
Citation style
  • apa
  • ieee
  • modern-language-association-8th-edition
  • vancouver
  • Other style
More styles
Language
  • de-DE
  • en-GB
  • en-US
  • fi-FI
  • nn-NO
  • nn-NB
  • sv-SE
  • Other locale
More languages
Output format
  • html
  • text
  • asciidoc
  • rtf