کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
5083524 1477803 2015 13 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
MA trading rules, herding behaviors, and stock market overreaction
موضوعات مرتبط
علوم انسانی و اجتماعی اقتصاد، اقتصادسنجی و امور مالی اقتصاد و اقتصادسنجی
پیش نمایش صفحه اول مقاله
MA trading rules, herding behaviors, and stock market overreaction
چکیده انگلیسی

We determine whether investors profit from employing moving average trading rules that consider either “wide” or “in-depth” concerns. Our remarkable findings are as follows: First, investors benefit from purchasing the constituent stocks of SSE50 as dead crosses emerge. These stocks may be the result of the herding behaviors of individual investors who account for over 80% of investors in China's stock markets. Second, negative weekly returns increase in trading the constituent stocks of DJ30 and FTSE100 because returns increase considerably on golden-cross days as a result of stock price overreaction. These results remain robust by concerning investors' risk aversion, and even high risk aversion as investors suffer losses. In addition, our findings imply that stock market overreaction and herding behaviors are incorporated into technical analysis.

ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: International Review of Economics & Finance - Volume 39, September 2015, Pages 253-265
نویسندگان
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