The Effect On The Predictive Ability Of Technical Analysis By The Introduction Of Stock Index Future

The argument about the efficiency of technical analysis has been long lasting, but obviously far from being put an end to. The study of this topic in china has not taken such a long time, but has deepened day by day. In this paper, we want to test the efficiency of technical analysis in Chinese stock market, which includes two categories of trading rules—moving average and filter rule. The method we used in the process of hypothesis is bootstrapping, the test statistic we used is stepwised SPA test (Hansen,2005), and the data we used is CSI300. The purpose of this paper can be divided into two parts. First, we want to test, after the introduction of CSI300index futures, whether the number of significant rules would decrease or not. Second, we want to identify these significant rules in order to help investors to get excess return.