時間:10/12 (五) 10:30-12:00

地點: 台大管理學院二號館 302 教室

演講人: Shinn-Juh Lin

學校: Department of International Business - National Chengchi University

講題: Does Market Volatility Improve Predictability of Technical Analysis?

請見本次演講摘要:

Abstract

This paper investigates whether market volatility is valuable in enhancing profitability of technical trading rules. Specifically, we compare performance of the Variable Moving Average (VMA) rule, which incorporates market volatility information, with five other pop-ular trading rules without market volatility information. When applied to the Dow Jones Industrial Average index, the Superior Predictive Ability test by Hansen (2001) shows that the VMA rule outperforms other rules in profitability. With the test of Cumby and Modest (1987), we find that the better profitability of the VMA rule might have come from its better market timing ability. Furthermore, we explore whether the better performance of the VMA rule is sensitive to different market conditions, and obtain two interesting results.

First, the market timing ability of the VMA rule is asymmetric in bull and bear markets. Second, while the performance of the VMA rule is similar to that of the MA rule in the bear market, the VMA rule certainly outperforms the Moving Average (MA) rule in the bull market.