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:The profitability of Bollinger Bands: Evidence from the constituent stocks of Taiwan 50
學年109
學期1
出版(發表)日期2020/08/01
作品名稱The profitability of Bollinger Bands: Evidence from the constituent stocks of Taiwan 50
作品名稱(其他語言)
著者Yensen Ni; Min-Yuh Day; Paoyu Huang; Shang-Ru Yua
單位
出版者
著錄名稱、卷期、頁數Physica A: Statistical Mechanics and its Applications, 551, 124144
摘要We employ the constituent stocks of Taiwan 50 as our sample and explore if investors can beat the market by trading them as trading signals emitted by Bollinger Bands (BBs). Results reveal that investors might beat the market by taking long positions on stocks as share prices hit the lower BBs, as significantly shown in the positive abnormal returns. In addition, investors might also take the long positions instead of short positions when share prices reach the upper BBs. Thus, investors should employ momentum strategies instead of contrarian strategies while hitting upper BBs.
關鍵字Bollinger bands;Market efficiency;Technical analysis;Investment strategy
語言英文(美國)
ISSN1873-2119
期刊性質國外
收錄於SCI;
產學合作
通訊作者
審稿制度
國別美國
公開徵稿
出版型式,電子版
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