Portal de Periódicos da CAPES

Testing technical trading strategies on China's equity ETFs: A skewness perspective

2021; Elsevier BV; Volume: 51; Linguagem: Inglês

10.1016/j.ememar.2021.100864

1873-6173

Xiaoye Jin,

Market Dynamics and Volatility

We attempt to investigate the possible motives behind the popularity of technical analysis on China's equity ETFs by employing Ebert and Hilpert's (2019) approach with two additional extensions. Using the SSE 180 Index ETF from May 18, 2006 to December 8, 2020, we document that investors who apply technical rules on China's equity ETFs incline to do so because of the stylized fact that the skewness feature of technical analysis can meet their desire for it. We also find that investors should design a technical rule with a more reasonable and practical lag length of the price range (or the price change percentage) to fulfill their desire for higher skewness value. Moreover, we confirm that our empirical findings are robust even with the consideration of potential factors such as position constraint, market timing, reference return, market condition, transaction costs, and data-snooping bias.