The profitability of regression-based trading rules for the Shanghai stock market

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• 作者：Nicolaas Groenewold ; Sam Hak Kan Tang ; Yanrui Wu
• 关键词：Efficient Markets Hypothesis ; Trading rules ; China ; Stock market
• 刊名：International Review of Financial Analysis
• 出版年：2008
• 出版时间：2008
• 年：2008
• 卷：17
• 期：2
• 页码：411-430
• 全文大小：233 K

文摘

This paper uses daily Shanghai A share data to evaluate the profitability of trading rules based on the predictability found in the return series. We find that the value of the trading-rule-based portfolio at the end of our sample is between 2 and 11 times that of an equity-buy-and-hold portfolio. We assess the robustness of the results in various ways: by carrying out various statistical tests, by varying the period over which the evaluation is carried out, by using a recursive estimation procedure for the forecasting equation, by incorporating transactions costs, and by considering weekly and monthly data.