摘要
The paper investigates the effect of two commonly used technical indicators,the advance/decline ratio and the short-term trading index on forecasting market returns.The result shows that the indicators have statistically significant relationship to the subsequent third day’s market index returns,and the relationship exists more frequently during trading hours than during non-trading hours,which means that information during the non-trading hours has little effect.Accordingly,the paper concludes that China stock market has not completely accorded to the week-form efficiency.
The paper investigates the effect of two commonly used technical indicators,the advance/decline ratio and the short-term trading index on forecasting market returns.The result shows that the indicators have statistically significant relationship to the subsequent third day's market index returns,and the relationship exists more frequently during trading hours than during non-trading hours,which means that information during the non-trading hours has little effect.Accordingly,the paper concludes that China stock market has not completely accorded to the week-form efficiency.
出处
《统计研究》
CSSCI
北大核心
2004年第12期31-34,共4页
Statistical Research
基金
教育部人文社会科学研究项目 (编号 :0 2JA790 0 61)的阶段性研究成果
