Empirical Research On A Share Stock Market Trading Strategy Based On Technical Analysis

One of the greatest conflicts between modem capital theory and the financial practices is the separation that exists between the Efficient Market Hypothesis (EMH) and the Technical Analysis (TA). Firstly, based on the survey of the early and recent empirical literatures on testing the efficiency of TA, the author finds that it is widely recognized that the capital market in China is still not weak-form efficient. In addition, the positive analysis shows that the stocks, which is mainly based on the industry chain of capital market in China, using MA, MACD, RSI, BIAS TA strategy perform significantly better than buy-and-hold strategy, as well as the current yield of SSE Composite Index, which means TA can gain excess return rate. Thus, we may conclude that TA strategy is efficient in capital market in China. Last but not least, when researching on the contact between characteristics of stocks and the certain TA strategy, the author finds that BIAS strategy plays well in stocks which have small Circulated stock value or stocks which are more active.