CAJ | 학술논문

本文使用上证指数1990年12月到2011年12月的数据对均线策略有效性进行了分析。我们发现，（1）均线规则下，投资者能够获得超额收益率，且买入交易日的平均收益率显著高于卖出交易日的收益率；（2）不同期限的均线策略所获得的收益率随市场环境的变化而变化，这是由各期限均线策略在不同市场环境中风险的变化所导致的；（3）增加缓冲空间提高了买入交易日的收益率均值，同时降低了卖空交易日的收益率均值，这一结果同样是由缓冲空间所弓『起的风险变化所导致的。基于随机游走模型、ARMA模型以及GARCH—M模型的BootStrap检验结果进一步表明，均线交易策略产生的收益率绝对值大于上述三个模型所得到的“正常”收益率的绝对值，这三个常用的模型无法解释移动平均策略所获得的收益率。
본문사용상증지수1990년12월도2011년12월적수거대균선책략유효성진행료분석。아문발현，（1）균선규칙하，투자자능구획득초액수익솔，차매입교역일적평균수익솔현저고우매출교역일적수익솔；（2）불동기한적균선책략소획득적수익솔수시장배경적변화이변화，저시유각기한균선책략재불동시장배경중풍험적변화소도치적；（3）증가완충공간제고료매입교역일적수익솔균치，동시강저료매공교역일적수익솔균치，저일결과동양시유완충공간소궁『기적풍험변화소도치적。기우수궤유주모형、ARMA모형이급GARCH—M모형적BootStrap검험결과진일보표명，균선교역책략산생적수익솔절대치대우상술삼개모형소득도적“정상”수익솔적절대치，저삼개상용적모형무법해석이동평균책략소획득적수익솔。
The paper uses the data of Chinese A-share market from Dec. 1990 to Dec. 2011 to investigate the effectiveness of moving average strategy. We find, （1） using moving average strategy, investor can achieve positive excess return, average return of buy days is significantly higher than that of sell days. （2） strategies based on different period produce different returns, which is caused by the change of risk in different time period. （3） increasing buffer space can enhance average return of buying days and decrease average return of selling days. Using Bootstrap method based on the assumptions of random walk, ARMA and GARCH-M, we find that the returns produced by moving average strategy cannot be explained by the above statistical models of return, because it is bigger than the ＂normal＂ returns from these three models.