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《Journal of Chongqing University of Technology(Natural Science)》 2015-11
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Asymmetric Return Dynamics and Technical Trading Strategies

LIU Ting-ting;College of Management and Economics,Tianjin University;  
Relationship between the asset returns and volatility has always been a research focus in the financial economics. We investigated asymmetric reverting property of stock returns and raised the profitability of technical trading strategies. We identified an asymmetry in return dynamics for daily returns on the Shanghai composite index. Return dynamics evolve along a positive( negative) unconditional mean after a prior positive( negative) return. The trading strategies based on this asymmetry generate a positive return for buying signals,a negative return for sell signals and a positive return for the spread between buy and sell signals.
【Fund】: 国家自然科学基金资助项目(71071109)
【CateGory Index】: F830.9;F224
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【Citations】
Chinese Journal Full-text Database 2 Hits
1 CHEN Jing,HUANG Guang-hui(College of Mathematics and Statistics,Chongqing University,Chongqing 401331,China);The New Investment Strategy Based on the Margin and Its Application[J];Journal of Chongqing University of Technology(Natural Science);2013-04
2 DENG Jie,TANG Guo-xing(Department of Mechanical and Power Engineering,Chongqing University of Science and Technology,Chongqing 401331,China);Empirical Research on Technology Trading Rules Effectiveness in Chinese Stock Market[J];East China Economic Management;2009-05
【Co-citations】
Chinese Journal Full-text Database 4 Hits
1 QU HuiSchool of Management and Engineering,Nanjing University,Nanjing 210093,China;Using Genetic Programming to Find Technical Trading Rules for SSE 50 Index[J];Journal of Management Science;2010-05
2 Shen Ailing & Tian Kan School of Management,trade of Nanjing Medical University;On the Shares Transfer of Equity Investment[J];Academics;2011-11
3 YIN Yu-ming,ZHOU Wen-qiang,HE Ming (School of Economics and Management,University of Electronic Science and Technology of China,Chengdu 610054,China);Econometric Analysis of Effectiveness about Technology Trading Rules in Chinese Stock Market:Based on Long-term Rectangular Shapes[J];Modern Finance and Economics-Journal of Tianjin University of Finance and Economics;2011-06
4 ZHAO Zhao(Antai School of Economics and Management,Shanghai Jiaotong University, Shanghai 200240,China);Nonparametric research on the relationship between intraday movement and overnight gap of stock indices[J];Journal of Chang'an University(Social Science Edition);2012-03
【Secondary Citations】
Chinese Journal Full-text Database 1 Hits
1 LI Min(Department of Mathematics and Quantity Economy,Dongbei University of Finance and Economics,Dalian 116025,China);Arbitrage Strategy of Value and Glamour Stock[J];Journal of Liaoning Normal University(Social Science Edition);2008-06
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