Performance of intraday technical trading in China’s gold market

Xiaoye Jin

Journal of International Financial Markets, Institutions and Money, 2022, vol. 76, issue C

Abstract: This paper investigates the predictive power of intraday technical trading in China’s gold market. We conduct this study by employing a 5-min intraday data from the most active futures contract listed on the Shanghai Futures Exchange covering the period spanning from 12th March 2018 to 10th March 2021. Our empirical evidence suggests that after comprehensively considering data snooping, transaction costs, market conditions, and frequencies of portfolio rebalancing, investors are unlikely to choose technical trading rules that persistently yield attractive out-of-sample performance, indicating that the predictive power of intraday technical trading in China’s gold market is illusory.

Keywords: China’s gold market; Technical analysis; Data snooping bias; Transaction costs; Intraday predictability (search for similar items in EconPapers)
JEL-codes: G12 G14 G17 Q02 (search for similar items in EconPapers)
Date: 2022
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Persistent link: https://EconPapers.repec.org/RePEc:eee:intfin:v:76:y:2022:i:c:s1042443121001876

DOI: 10.1016/j.intfin.2021.101481

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