Based On Moving Average Stock Trading Strategies And The Timing Of Empirical Research

There is a significant phenomenon in China's stock market, that is the crazy on the first day price of IPO. The first-day price of IPO is extremely high, while two to three years later the performances of new issues are generally weaker than the market or comparable old listed companies, then begin to gradually rebound until the stock prices touch the issue price. Based on this phenomenon, this dissertation constructs a trading strategy buying when the stock price is low and selling when the price is high, and we empirically test whether or not this strategy can generate a significant excess returns by considering the the risk premium and transaction cost.A key of constructing transaction strategy is at option of transaction opportunity, the use of technical analysis of the most common to move the rules to determine the concrete time to buy and sell. To identify the opportunity to share prices will fall to buy stocks as the issue price is the starting point, then use the rules to determine the moves up and hold .To determine the time to sell the stock price is beyond the issue price to sell the stock of the investigation, then use the rules to determine when to move it was pitch.Further, this paper calculated the excess earnings method to test the trading strategy's profitability. Excess return is the total receipts of stock trading, not only to deduct the Securities and Exchange Commission such as stamp duty and transaction costs, but also to adjust to market risk. This article uses the CAPM to measure the equity risk premium system.By empirical research for eighty listed companies transacted in Shanghai Stock Exchange between 1st January 2001 and 29th April 2005, we found that transaction strategy made by the paper can acquire outstanding positive super return. Further analyses pointed out that the first value in the market value new stock too high, the outlook is the fall of a business strategy can make a profit of major reason. finally reached the conclusion of the paper and suggestions.