| The profitability of Bollinger Bands: Evidence from the constituent stocks of Taiwan 50 | |
|---|---|
| 學年 | 109 |
| 學期 | 1 |
| 出版（發表）日期 | 2020-08-01 |
| 作品名稱 | The profitability of Bollinger Bands: Evidence from the constituent stocks of Taiwan 50 |
| 作品名稱（其他語言） | |
| 著者 | Yensen Ni; Min-Yuh Day; Paoyu Huang; Shang-Ru Yua |
| 單位 | |
| 出版者 | |
| 著錄名稱、卷期、頁數 | Physica A: Statistical Mechanics and its Applications 551, 124144(14 pages) |
| 摘要 | We employ the constituent stocks of Taiwan 50 as our sample and explore if investors can beat the market by trading them as trading signals emitted by Bollinger Bands (BBs). Results reveal that investors might beat the market by taking long positions on stocks as share prices hit the lower BBs, as significantly shown in the positive abnormal returns. In addition, investors might also take the long positions instead of short positions when share prices reach the upper BBs. Thus, investors should employ momentum strategies instead of contrarian strategies while hitting upper BBs. |
| 關鍵字 | Bollinger bands;Market efficiency;Technical analysis;Investment strategy |
| 語言 | en_US |
| ISSN | 0378-4371; 1873-2119 |
| 期刊性質 | 國外 |
| 收錄於 | SCI |
| 產學合作 | |
| 通訊作者 | |
| 審稿制度 | 否 |
| 國別 | USA |
| 公開徵稿 | |
| 出版型式 | ,電子版,紙本 |
| 相關連結 |
機構典藏連結 ( http://tkuir.lib.tku.edu.tw:8080/dspace/handle/987654321/118268 ) |
| SDGS | 優質教育,負責任的消費與生產 |
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