Spurious regressions in technical trading

Mototsugu Shintani, Tomoyoshi Yabu, Daisuke Nagakura

研究成果: Article査読

7 被引用数 (Scopus)

抄録

This paper investigates the spurious effect in forecasting asset returns when signals from technical trading rules are used as predictors. Against economic intuition, the simulation result shows that, even if past information has no predictive power, buy or sell signals based on the difference between the short-period and long-period moving averages of past asset prices can be statistically significant when the forecast horizon is relatively long. The theoretical analysis reveals that both 'momentum' and 'contrarian' strategies can be falsely supported, while the probability of obtaining each result depends on the type of the test statistics employed.

本文言語English
ページ(範囲)301-309
ページ数9
ジャーナルJournal of Econometrics
169
2
DOI
出版ステータスPublished - 2012 8

ASJC Scopus subject areas

  • 経済学、計量経済学

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