技术分析与超额收益率研究进展

发布时间：2018-06-19 06:19

本文选题：技术分析 + 收益率非线性　；参考：《经济理论与经济管理》2013年09期

【摘要】：技术分析能否帮助投资者获得超额收益率是金融理论界广泛关注的问题之一。早期理论界主要采用传统t检验方法,得出技术分析无效的结论;随着计算机的普遍应用,布鲁克等人(Brock et al)基于传统t检验存在的计量误差,采取脱靴检验方法,认为技术分析能够带来显著的超额收益率,随后,有学者认为股票收益率呈现非线性相关的特征,采用前向人工神经网络模型进行分析,得到技术分析有效的结论;然而,数据窥查效应的剔除使得技术分析获得的超额收益率减少,遗传规划模型的应用也使得技术分析有效的结论受到了较大的质疑。因此,目前对于技术分析是否有效这一问题,并没有形成一致的结论,依然有较大的研究空间。
[Abstract]:Whether technical analysis can help investors to obtain excess returns is one of the problems that the financial theorists pay more attention to. In the early theory circle, the traditional t test method was mainly used to draw the conclusion that the technical analysis was invalid. With the general application of computer, Brock et al) adopted the boot removal test method based on the measurement error existing in the traditional t test. It is believed that technical analysis can bring about significant excess returns. Subsequently, some scholars believe that stock returns show nonlinear correlation characteristics, and use forward artificial neural network model to analyze, and get the conclusion that technical analysis is effective. The elimination of peeping effect reduces the excess rate of return obtained by technical analysis, and the application of genetic programming model makes the conclusion that technical analysis is effective has been questioned. Therefore, there is no consistent conclusion on whether technical analysis is effective or not, and there is still much room for research.
【作者单位】：中央财经大学金融学院;
【基金】：国家自然科学基金(71003113) 教育部“新世纪优秀人才支持计划” 中央财经大学“青年科研创新团队支持计划”
【分类号】：F830

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