考－中国股市技术分析的有用性.pdfVIP

On the Value of Technical Analysis for Stock Traders in China Xiao-Ming Li and Kong-Jun Chen Department of Commerce, Massey University (Albany), New Zealand Abstract It is documented that technical analysis is a highly pervasive activity among stock traders and security analysts in China. This paper uses eight years data on daily stock prices and trading volume of thirty-nine companies listed on the Shenzhen Stock Exchange to examine the usefulness of technical analysis. Very weak evidence in support of return predictability is generated either by considering returns alone or by the use of volume in conjunction with returns. The results not only cast doubt on the ability of technical analysis to predict future price movements in Chinas stock markets, but also challenge the views of market inefficiency for China that are based on aggregate market data rather than individual company data. Key words: Technical analysis, return predictability, trading volume, weak-form efficiency, Chinas stock market. JEL classification: G14; O53 Address for correspondence: Dr Xiao-Ming Li, Department of Commerce, Massey University (Albany), Private Bag 102904, North Shore MSC, Auckland, New Zealand. Tel: 64 9 443 9799 ext 9471. Fax: 64 9 441 8177. Email: x.n.li@massey.ac.nz 1. Introduction In Chinas stock markets, technical analysis is a more pervasive activity not only than fundamental analysis, but also than in other nations stock markets. Various media are congested with comments on, and predictions of, the future price movements for the market as a whole and for individual stocks. Nearly every evening and in every place, radio and television programs invite chartists and technical analysts to answer questions from individual stock investors and even give them advice on which stock to buy or sell. These