Technical Analysis and Market States
碩士 === 國立中正大學 === 財務金融研究所 === 101 === In this paper, I analyze the usefulness of technical analysis on the state of the market and generally made moving average trading strategies. I use two technical trading strategies to test if there is abnormal return for these portfolios constructed and perform...
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| Format: | Others |
| Language: | en_US |
| Published: |
2013
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| Online Access: | http://ndltd.ncl.edu.tw/handle/47436458001626809809 |
| Summary: | 碩士 === 國立中正大學 === 財務金融研究所 === 101 === In this paper, I analyze the usefulness of technical analysis on the state of the market and generally made moving average trading strategies. I use two technical trading strategies to test if there is abnormal return for these portfolios constructed and performance in the different market states. Overall, I find that returns of asset are really asymmetric on the state of the market. Most performances greater following UP markets than following DOWN markets, excluding part assets. Moreover, I also find stock markets are more significant than commodity markets.
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