Re-Examining the Profitability of Technical Analysis by Correcting the Data Snooping Bias
| Autor: | Po-Hsuan Hsu, 許博炫 |
|---|---|
| Rok vydání: | 2001 |
| Druh dokumentu: | 學位論文 ; thesis |
| Popis: | 89 The technical analysis, which has been widely used in financial markets for many decades, is believed to be profitable by many practitioners. However, some researchers considered such profitability is a result of data snooping, due to inappropriate tests and incomplete universe. Different from most researches that based their conclusions on only few technical rules and inappropriate tests, this study provides a more complete universe of technical trading rules and tests their profitability with data snooping correction. In this study, the universe consists of 40,108 trading rules, including the contrarian rules and the investor''s strategies that were never analyzed in previous studies. With a more complete universe, the profitability of technical analysis is tested using the Reality Check of White (2000, Econometrica, 68, 1097—1126) to correct the data snooping bias. Based on Dow Jones Industrial Average (DJIA) Index data from 1987 to 1996, we find that the contrarian rules and investor''s strategies outperform simple trading rules on average return, yet there exists neither profitable technical rule nor profitable investor''s strategy. As a result, the efficiency of market is further supported by this study. |
| Databáze: | Networked Digital Library of Theses & Dissertations |
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