量?jī)r(jià)配合的技術(shù)分析交易規(guī)則有效性研究

在參考國(guó)內(nèi)外相關(guān)研究成果的基礎(chǔ)上，采用實(shí)證方法研究了我國(guó)股票市場(chǎng)量?jī)r(jià)配合的技術(shù)分析交易規(guī)則的有效性。實(shí)證研究表明，在考慮交易費(fèi)用和風(fēng)險(xiǎn)補(bǔ)償以后，該規(guī)則的有效性受其采用的時(shí)間跨度的影響。除去20%的成交量變化率限幅配合技術(shù)指標(biāo)交易結(jié)果為負(fù)面以外，存在一個(gè)成交量變化率限幅能夠使得量?jī)r(jià)配合的技術(shù)交易規(guī)則獲得優(yōu)于不使用限幅的交易結(jié)果。實(shí)證結(jié)果支持了量?jī)r(jià)配合的技術(shù)分析交易規(guī)則在我國(guó)股票市場(chǎng)短期限內(nèi)的有效性，即該規(guī)則能取得統(tǒng)計(jì)上顯著的異常收益。
關(guān) 鍵 詞 量?jī)r(jià)配合; 技術(shù)分析交易規(guī)則; 隨機(jī)指數(shù); 平衡能量指數(shù)

Abstract By combining the variation of price and volume we predict the following variation and get abnormal returns. Our empirical study show that, after controlling for the trading costs and risks, the efficiency of technical analysis transferring rule is relevant to the time span it adopts. Except that it result negatively as we apply a 0.2 trade volume, there is always a technical analysis transferring rule with a trade volume limiting can bring us more abnormal returns than without the limiting. In general, our study supports the conclusion that the technical analysis rule with the conformation of volume and price has some efficiency, though further study is always expected.
Key words conformance of volume and price; technical analysis trading rule; stochastics; on-balance volume