技术分析在中国股票市场的有效性-金融学专业论文.docxVIP

万方数据 万方数据 上海交通大学 学位论文版权使用授权书 本学位论文作者完全了解学校有关保留、使用学位论文的规定，同意 学校保留并向国家有关部门或机构送交论文的复印件和电子版，允许论文 被查阅和借阅。本人授权上海交通大学可以将本学位论文的全部或部分内 容编入有关数据库进行检索，可以采用影印、缩印或扫描等复制手段保存 和汇编本学位论文。 保密口，在一一年解密后适用本授权书。 本学位论文属于 不保密?o (请在以上方框内打 .J ) 学位论文作者签名:你 H我支 指导教师签名: d_ .;叫 日期: 忡 6 月 1日 日期:叫年4 月F日 Contents HYPERLINK \l _bookmark0 Abstract(English) i HYPERLINK \l _bookmark1 Abstract(Chinese) ii HYPERLINK \l _bookmark2 Introduction 1 HYPERLINK \l _bookmark3 Background 2 HYPERLINK \l _bookmark4 General Introduction of Technical Analysis 3 HYPERLINK \l _bookmark5 Technical Analysis and Fundamental Analysis 7 HYPERLINK \l _bookmark6 Technical Analysis under Efficient-Market Hypothesis 10 HYPERLINK \l _bookmark7 Review of Literature 15 HYPERLINK \l _bookmark8 Papers Indicating TA is Informative 15 HYPERLINK \l _bookmark9 Papers Indicating TA is Non-Informative 17 HYPERLINK \l _bookmark10 Empirical Test of Technical Patterns 18 HYPERLINK \l _bookmark11 The Data Smoothing Methodology 18 HYPERLINK \l _bookmark12 Pattern Recognition Procedure 25 HYPERLINK \l _bookmark13 Results Summary 32 HYPERLINK \l _bookmark14 Data Selection 32 HYPERLINK \l _bookmark15 Descriptive Statistics of Patterns 32 HYPERLINK \l _bookmark16 Goodness of Fit Test 33 HYPERLINK \l _bookmark17 Test of Abnormal Returns 33 HYPERLINK \l _bookmark18 Robustness of the Results 36 HYPERLINK \l _bookmark19 Conclusion 37 HYPERLINK \l _bookmark20 Bibliography 39 Abstract We use pattern recognition method to test the effectiveness of the eight technical patterns, namely Head-and-Shoulders, Inversed Head-and-Shoulders, Boarding Top, Boarding Bottom, Triangle Top, Triangle Bottom, Rectangle Top, Rectangle Bottom, in the Chinese stock market. We use the identification procedure first proposed by Andrew W. Lo (2000) using Kernel regression method as the smoothing estimator, defining technical patterns according to the value and order of local extrema of the smoothed price series, and identifying patterns using a ro