| This article studies whether the common technical analysis indicators can bring significant excess returns,and at the same time tests whether the Chinese stock market is weakly effective.The indicators studied include VMA,FMA,KDJ and MACD trading rules.In order to test the saliency of excess returns,transaction costs and asynchronous transaction problems,we take a non-parametric Bootstrap approach,Break-Even Cost,and the "Deal one-day lag,Sell no laggard" approach.Empirical results show that:VMA trading strategy in the short term can obtain significant excess returns,with the average deadline increases,the significance will be gradually reduced,the cumulative excess returns will gradually decrease;VMA trading strategy buy rules better than the sell rules.The result of the FMA trading strategy is similar to the VMA result.The buy and sell rules of the KDJ trading strategy all achieve significant excess returns.However.more transactions will result to lower transaction costs.The buy and sell rules of the MACD trading strategy can get significant excess returns,for the same index indicators,different timing rules will lead to cumulative returns and significance differences.Mixed trading strategy of multiple technical indicators,only the buy rules can achieve significant excess returns,sell rules may not be able to obtain significant excess returns.The study of asynchronous transactions found that if you can grasp the opportunity of technical analysts timely,you can get significant excess returns.The paper also studies the Hurst index.The result shows that the H value of Chinese stock market fluctuates between 0.6-0.75,which is much higher than the value of H at random walk.It presents long-term memory,the stock market will maintain the original direction.To sum up.in the Chinese stock market,some indicators of technical analysis can obtain significant excess returns in the short term,and the Chinese stock market has not reached to the weak efficient market. |
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