The impact of data snooping on the testing of technical analysis: An empirical study of Asian stock markets |
| |
| Authors: | Cheng-Wei Chen Chin-Sheng Huang Hung-Wei Lai |
| |
| Institution: | aDepartment of Agricultural Economics, National Taiwan University, Taiwan;bDepartment of Finance, National Yunlin University of Science and Technology, No. 123 University Road, Section 3, Douliou, Yunlin 64002,Taiwan;cFinance Division, Graduate School of Management, National Yunlin University of Science and Technology, Taiwan |
| |
| Abstract: | The primary aim of this study is to investigate the validity and predictability of technical analysis in eight Asian equity markets. We employ the bootstrap tests of White (2000) and Hansen (2005) to determine whether any superior trading rule is found to exist amongst the ‘universe’ of technical trading rules identified by Sullivan et al. (1999). We use these powerful bootstrap tests to ascertain the profitability of technical analysis, along with two institutional adjustments for non-synchronous trading and transaction costs. The empirical results indicate that these three elements, data snooping, non-synchronous trading and transaction costs, have significant impact on the overall performance of technical analysis; indeed, the results for these eight Asian stock markets support the efficient market hypothesis, demonstrating that the generation of economic profits through the use of technical analysis is extremely unlikely with these particular markets. |
| |
| Keywords: | Technical analysis Bootstrap tests Data snooping Asian stock markets |
| 本文献已被 ScienceDirect 等数据库收录！ |
|
