Profitability of technical trading rules in the Chinese stock market

O-Chia Chuang, Hui-Ching Chuang, Zixuan Wang and Jin Xu

Pacific-Basin Finance Journal, 2024, vol. 84, issue C

Abstract: This article examines the profitability of technical analysis on the Shanghai Stock Exchange Composite Index (SSEC) and the Growth Enterprise Market (GEM) Index, employing stepwise generalized error rate control procedures to address the data-snooping bias. Our comprehensive study encompasses 38,456 trading rules, extending beyond prior research by incorporating simple rules alongside their contrarian and complex counterparts. Upon rectifying data-snooping bias, we show that only a few complex rules outperform SSEC in different testing sub-periods, and no trading rules outperform GEM. As the outperforming rules are based on relatively high frequent trades, most lucrative rules yield negative returns in the out-of-sample periods once transaction costs were considered. Our new findings shed light on the efficiency of the Chinese stock market from 2010 to 2021.

Keywords: Technical analysis; Multiple testing; Stepwise RC test; FWER; FDP (search for similar items in EconPapers)
JEL-codes: C12 C52 G11 G23 (search for similar items in EconPapers)
Date: 2024
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S0927538X24000295
Full text for ScienceDirect subscribers only

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:eee:pacfin:v:84:y:2024:i:c:s0927538x24000295

DOI: 10.1016/j.pacfin.2024.102278

Access Statistics for this article

Pacific-Basin Finance Journal is currently edited by K. Chan and S. Ghon Rhee

More articles in Pacific-Basin Finance Journal from Elsevier
Bibliographic data for series maintained by Catherine Liu ().