CAJ | 학술논문

尽管图形技术分析在金融市场上被投资者广泛应用,但信息含量的学术研究却很不充分.本文参考Lo等(2000)和Brock等(1992)的研究框架,开辟了检验图形技术分析信息含量的新视角.通过将技术分析所使用的图形进行分解,设计出了一种衡量图形技术分析信息含量的检验途径,并提出了一个基于bootstrap原理的可用于检验各种交易策略的统计检验方法.此外,本文对原有文献模型的参数选择、形态定义等也提出了较大改进.根据本文对于图形技术分析的改进研究方法,我们首次对中国股市1233支A股进行图形技术分析,研究其包含的信息含量,证明恰当的图形技术分析确实可以提供十分显著的信息含量,从而有力地反驳了技术分析无效的观点.
진관도형기술분석재금융시장상피투자자엄범응용,단신식함량적학술연구각흔불충분.본문삼고Lo등(2000)화Brock등(1992)적연구광가,개벽료검험도형기술분석신식함량적신시각.통과장기술분석소사용적도형진행분해,설계출료일충형량도형기술분석신식함량적검험도경,병제출료일개기우bootstrap원리적가용우검험각충교역책략적통계검험방법.차외,본문대원유문헌모형적삼수선택、형태정의등야제출료교대개진.근거본문대우도형기술분석적개진연구방법,아문수차대중국고시1233지A고진행도형기술분석,연구기포함적신식함량,증명흡당적도형기술분석학실가이제공십분현저적신식함량,종이유력지반박료기술분석무효적관점.
Based on the framework of Lo et al （2000） and Brock et al （1992）, this paper provided a new perspective of the research on the information of ‘charting’ By decomposing the patters that technical analyst used, this paper designed a testing method to gauge the information of ‘charting’ . This paper also proposed a bootstrap method that could be used to test the profitability of all kinds of trading strategies. In addition, this paper improved the original models in parametric selection and pattern definitions. Using the method improved in this paper, we tested the information of‘charting’, given the trading data of 1233 stocks from Chinese stock market. We proved that there do exist some technical patterns that can provide significant information, thus strongly refuted the viewpoint that technical analysis is useless.