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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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