教師資料查詢 | 類別: 期刊論文 | 教師: 倪衍森 NI, YEN-SEN (瀏覽個人網頁)

標題:MA trading rules, herding behaviors, and stock market overreaction
學年104
學期1
出版(發表)日期2015/09/01
作品名稱MA trading rules, herding behaviors, and stock market overreaction
作品名稱(其他語言)
著者Yen-sen Ni; Yi-ching Liao; Pao-yu Huang
單位
出版者
著錄名稱、卷期、頁數International Review of Economics and Finance 39, p.253-265
摘要We determine whether investors profit from employing moving average trading rules that consider either “wide” or “in-depth” concerns. Our remarkable findings are as follows: First, investors benefit from purchasing the constituent stocks of SSE50 as dead crosses emerge. These stocks may be the result of the herding behaviors of individual investors who account for over 80% of investors in China's stock markets. Second, negative weekly returns increase in trading the constituent stocks of DJ30 and FTSE100 because returns increase considerably on golden-cross days as a result of stock price overreaction. These results remain robust by concerning investors' risk aversion, and even high risk aversion as investors suffer losses. In addition, our findings imply that stock market overreaction and herding behaviors are incorporated into technical analysis.
關鍵字Moving average;Herding behavior;Overreaction
語言英文
ISSN1059-0560
期刊性質國外
收錄於SSCI;
產學合作
通訊作者Pao-yu Huang
審稿制度
國別荷蘭
公開徵稿
出版型式,電子版,紙本
相關連結
Google+ 推薦功能,讓全世界都能看到您的推薦!