Business Faculty Publications

Title

Profits Of Trading Strategies Based On Market Sentiments And Technical Analysis

Document Type

Article

Publication Date

1-1-2009

Publication Title

Global Business & Finance Review

Keywords

buy-and-hold strategy; market sentiments; technical analysis

Disciplines

Finance and Financial Management | Portfolio and Security Analysis

Abstract

This study investigates whether simple moving average trading rules and trading signals generated from market sentiments in China generate excess returns. The results indicate low correlations among the signals generated from the two sources. Trading strategies following signals from market sentiments alone do not generate excess returns over a buy-and-hold strategy, while certain technical signals do. Furthermore, trading signals jointly generated from market sentiments and technical analysis can yield significantly higher returns than a buy-and-hold strategy and signals generated solely from technical analysis.

Volume

14

Issue

2

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