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    量价配合的技术分析交易规则有效性-10只股票测试

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    34 5 Vol.34 No.

    5
    2005 10 Journal of UEST of China Oct. 2005

    ( 610054)

    20%

    ; ; ;
    F830.91 A

    An Empirical Study on the Efficiency of Technical Analysis


    Trading Rule with Conformance of Volume and Price

    TANG Yu-hong ZENG Yong TANG Xiao-wo


    (School of Management, UEST of China Chengdu 610054)

    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

    [1]

    [2-3]

    [4-5]

    [6]

    2003 − 09 − 15
    (79725002)
    (1978 − ) .
    5 : 721

    [7]
    (Buy-and-Hold BH) [8]

    2
    KD

    (m n l) m n l
    (ON Balance Volume, OBV) 50% 20% 1
    50% 20% 50% 20%

    50% 20% OBV OBV

    0.75%

    1997-11 2001-12 13

    10
    10 (600611) (600663) (600631) (600852) (600642)
    (600643) (600649) (600839) (600653) (600640)
    10% 1997-01-01 2001-12-31
    http://www.stockstar.com.cn SPSS
    KD OBV
    Rab Rab

    4
    (9 3 ) (9 3 50%) (9 3 20%) (9 3 OBV) (12 4
    ) (12 4 50%) (12 4 20%) (12 4 OBV) (18 5 ) (18 5 50%) (18 5 20%) (18 5
    722 34

    OBV) 1

    B-H −0.479 0 −0.493 590 1 200 −0.000 410 −0.000 660 8 0 0


    9, 3, 0.181 7 0.166 733 626 0.000 266 1.689 7E-05 0.000 677 7 0.000 717 529
    9, 3, 50% 0.310 7 0.295 717 520 0.000 569 0.000 319 24 0.000 980 0 0.000 729 532
    9, 3, 20% −0.030 0 −0.045 410 624 −7.3E-05 −0.000 322 21 0.000 338 6 0.000 542 827
    9, 3, OBV 0.526 0 0.510 987 598 0.000 854 0.000 605 04 0.001 265 8 0.000 810 639
    12, 4, 0.559 3 0.544 323 601 0.000 906 0.000 656 25 0.001 317 0 0.000 905 775
    12, 4, 50% 0.581 8 0.566 753 525 0.001 080 0.000 830 08 0.001 490 9 0.000 864 715
    12, 4, 20% −0.222 0 −0.237 060 680 −0.000 350 −0.000 598 12 6.27E-05 0.000 505 406
    12, 4, OBV 0.528 3 0.513 272 603 0.000 851 0.000 601 75 0.001 262 5 0.000 940 063
    15, 5, 0.310 1 0.295 070 628 0.000 470 0.000 220 41 0.000 881 2 0.000 466 320
    15, 5, 50% 0.450 3 0.435 342 565 0.000 771 0.000 5210 7 0.001 181 8 0.000 434 142
    15, 5, 20% −0.279 0 −0.293 800 671 −0.000 440 −0.000 687 33 −2.65E-05 0.000 145 002
    15, 5, OBV 0.316 2 0.301 174 618 0.000 487 0.000 237 89 0.000 898 7 0.000 472 004

    (50%)
    20% 20%

    20%

    OBV

    OBV f 50% f f 20% 50% f OBV f


    f 20% 20%

    Kolmogorov-Smirnov Shapiro-Wilk 2

    Kolomogorov-Smirmov Shapiro-Wilk

    0.183 12 0.200 0.908 12 0.199

    2 (Sig.) 5%
    5 : 723

    BH
    ( ) T 95% T 5%
    3
    3

    ( )= 0.000 860 86
    T
    0.001 11 1.000 0.000 000 006 7

    T 1.000 5%

    BH

    [1] Bondt D, Thaler R H. Does the stock market overreact [J]. Journal of Finance. 1985, 40(3): 793-805
    [2] Gallant A R , Rossi P E, Tauchen G . Stock prices and volume [J]. Review of Financial Studies, 1992,5: 199-242
    [3] Karpoff J. The relation between price change and trading volume: A survey [J]. Journal of Financial and Quantitative
    Analysis, 1987, (22): 109-126
    [4] Brown D, Jennings R. On technical analysis [J]. Review of Financial Studies, 1989, 2: 527-551
    [5] Campbell J Y, Grossman S J, Wang J. Trading volume and serial correlation in stock returns [J]. Quarterly Journal of
    Economics, 1993, (108): 905-940
    [6] , . [J]. , 2001, (6): 47-52
    [7] , , . [J]. , 2000, 29(6): 647-650
    [8] . :[ ][D]. : , 1996

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