CAN ANOMALIES BE EXPLAINED BY TECHNICAL ANALYSIS? EVIDENCE FROM CANDLESTICK PATTERNS

Tsung-Hsun Lu ； Yu Lieh Huang ； Jow-Ran Chang

《Advances in Investment Analysis and Portfolio Management》 7期 (2016/03) Pp. 65-83

https://doi.org/10.6291/AIAPM.2016.07.04

並列摘要

The aim of this study is to examine the predictive power of three-day candlestick patterns, improve performance by adopting a variable holding period approach, and identify two behavioral factors to explain the sources of profitability when using candlesticks. Using the Taiwan component stocks daily data for the period from 4 January 1992 to 31 December 2012, this study provides strong support for candlestick trading strategies, even when transaction costs are carefully taken into account. In addition, this study shows that candlestick charting can yield more substantial returns by using the variable holding period approach. Finally, trading volume per trade and turnover rates seem able to explain the profitability of using candlesticks.

並列關鍵字

Anomaly ； Behavioral Finance ； Candlestick ； Technical Analysis

參考文獻

Beja, A.,Goldman, M. B.(1980).On the dynamic behavior of prices in disequilibrium.The Journal of Finance.35,235-248.

Benartzi, S.,Thaler, R. H.(1995).Myopic loss aversion and the equity premium puzzle.The Quarterly Journal of Economics.110,73-92.

Blume, L.,Easley, D.,O'Hara, M.(1994).Market statistics and technical analysis: The role of volume.The Journal of Finance.49,153-181.

Caginalp, G.,Laurent, H.(1998).The predictive power of price patterns.Applied Mathematical Finance.5,181-205.

Chen, C.-W.,Huang, C.-S.,Lai, H.-W.(2011).Data snooping on technical analysis: Evidence from the Taiwan stock market.Review of Pacific Basin Financial Markets and Policies.14,195-212.