Testing technical trading strategies on China's equity ETFs: A skewness perspective

Xiaoye Jin

Emerging Markets Review, 2022, vol. 51, issue PA

Abstract: We attempt to investigate the possible motives behind the popularity of technical analysis on China's equity ETFs by employing Ebert and Hilpert's (2019) approach with two additional extensions. Using the SSE 180 Index ETF from May 18, 2006 to December 8, 2020, we document that investors who apply technical rules on China's equity ETFs incline to do so because of the stylized fact that the skewness feature of technical analysis can meet their desire for it. We also find that investors should design a technical rule with a more reasonable and practical lag length of the price range (or the price change percentage) to fulfill their desire for higher skewness value. Moreover, we confirm that our empirical findings are robust even with the consideration of potential factors such as position constraint, market timing, reference return, market condition, transaction costs, and data-snooping bias.

Keywords: Exchange traded funds; Technical analysis; Skewness preference; Data-snooping bias (search for similar items in EconPapers)
JEL-codes: D83 G11 G14 (search for similar items in EconPapers)
Date: 2022
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Persistent link: https://EconPapers.repec.org/RePEc:eee:ememar:v:51:y:2022:i:pa:s1566014121000728

DOI: 10.1016/j.ememar.2021.100864

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