期刊論文
| 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 | en |
| ISSN | 1059-0560 |
| 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 | 是 |
| 國別 | NLD |
| 公開徵稿 | |
| 出版型式 | ,電子版,紙本 |
| 相關連結 |
機構典藏連結 ( http://tkuir.lib.tku.edu.tw:8080/dspace/handle/987654321/106995 ) |