2019, Vol. 2, Issue 2

author(s)
James J Kung and Wen-Ying Lin

abstract
Using the Shanghai Composite Index from the first trading day in 1998 to the last trading day in 2018, we investigate the effectiveness of two popular technical trading rules (moving average and trading range breakout) in the Chinese stock market. Our results show that, for the two rules, buy signals consistently generate much higher returns than sell signals. In particular, the two rules are quite effective over 1998-2007 but become less effective over 2009-2018. These results suggest that the financial reform and liberalization measures implemented since the 2008 global financial crisis have improved, to a certain degree, the efficiency of the Chinese stock market.