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The Profitability of Technical Analysis during Financial Bubbles
The Journal of Portfolio Management ( IF 1.530 ) Pub Date : 2020-09-07 , DOI: 10.3905/jpm.2020.1.176
Bala Arshanapalli , Matthew Lutey , William Nelson , Micah Pollak

This article examines the use of technical analysis, namely, a moving-average technique, to improve upon a buy-and-hold investment strategy during financial bubbles. Econometric techniques can identify financial bubbles in real time, and these techniques successfully identify commonly acknowledged bubbles in the US stock market. The authors find that technical analysis significantly improves investment returns over a buy-and-hold strategy during three of the five financial bubbles since 1928 and performs identically in the other two. The authors also demonstrate similar results using three international markets. TOPICS: Developed markets, financial crises and financial market history, portfolio theory, technical analysis Key Findings • Technical trading techniques may be effective during periods of market instability, such as a financial bubble. • Econometric techniques can identify stock market financial bubbles in real time. • The combination of technical trading and real-time identification of financial bubbles can be used to significantly outperform a buy-and-hold strategy.

中文翻译:

金融泡沫期间技术分析的盈利能力

本文研究了技术分析(即移动平均技术)在金融泡沫期间改善买入并持有投资策略的方法。计量经济学技术可以实时识别金融泡沫,这些技术成功地识别了美国股票市场中公认的泡沫。作者发现,在1928年以来的五个金融泡沫中的三个中,技术分析大大改善了买入并持有策略的投资回报,而在其他两个中表现相同。作者还通过三个国际市场证明了类似的结果。主题:发达市场,金融危机和金融市场历史,投资组合理论,技术分析主要发现•技术交易技术在市场不稳定时期(例如金融泡沫)可能有效。•计量经济学技术可以实时识别股市金融泡沫。•技术交易和实时识别金融泡沫的组合可用于大大胜过购买和持有策略。
更新日期:2020-09-07
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