Technical and Fundamental Trading in the Chinese Stock Market: Evidence Based on Time-Series and Panel Data

Imad Moosa and Larry Li

Emerging Markets Finance and Trade, 2011, vol. 47, issue 0, 23-31

Abstract: Time-series and panel data are used to provide empirical evidence on technical and fundamental trading in the Chinese stock market. An econometric model is used to differentiate between the effect on stock prices of the actions of traders who act on the basis of fundamental analysis (financial ratios) and those acting on the basis of technical analysis. The model is estimated using monthly data on the stock prices of 100 companies listed on the Shanghai Stock Exchange. The results obtained from time series regressions show mixed results for the effectiveness of fundamental trading and overwhelming support for the effectiveness of technical trading. However, panel regressions show that both technical and fundamental trading have roles to play in determining stock prices, but technical trading is more effective.

Keywords: Chinese stock market; fundamental analysis; technical trading rules (search for similar items in EconPapers)
Date: 2011
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