Pacific-Basin Finance Journal ? February 2018 ? Volume 47, Pages 92-108

技术分析能在证券化的房地产市场中产生更高的回报吗？来自东亚市场的证据

作者：Bader S. Alhashel (Kuwait University, Kuwait),

Fahad W. Almudhaf (Kuwait University, Kuwait),

J. Andrew Hansz (Old Dominion University, United States)

摘要：本研究将各种流行的技术交易规则应用于1995-2015年亚洲房地产市场指数，以探讨这些规则的获利能力。结果验证了技术指标在印度尼西亚、马来西亚、台湾和泰国市场的预测能力和盈利能力，而在中国、香港、日本、菲律宾和新加坡市场不具有预测能力和盈利能力。对于技术指标具有预测性的市场，在使用四种不同的交易策略下，这种能力被证明是有效的并且超过了买入持有回报。这项研究的结果甚至在包括交易成本、风险调整和数据窥探后仍然成立。技术分析有效市场的结果与弱式市场有效性相矛盾，而技术分析不成功的市场至少是弱式有效。

关键词：东亚房地产；市场时机；技术分析；交易指标；市场效率

Can technical analysis generate superior returns in securitized property markets? Evidence from East Asia markets

Bader S. Alhashel (Kuwait University, Kuwait), Fahad W. Almudhaf (Kuwait University, Kuwait), J. Andrew Hansz (Old Dominion University, United States)

ABSTRACT

This study applies various popular technical trading rules to Asian property market indices from 1995 to 2015 to investigate the profitability of these rules. The results validate the predictive and profitability power of technical indicators in the markets of Indonesia, Malaysia, Taiwan, and Thailand but not in the markets of China, Hong Kong, Japan, the Philippines, and Singapore. For markets in which technical indicators are predictive, this ability is proven useful in generating returns in excess of buy-and-hold returns using four different trading strategies. The study's results hold even after including transaction costs, adjustments for risk, and data snooping. The results for the markets in which technical analysis is fruitful contradict weak-form market efficiency, whereas markets in which technical analysis is not successful are at least weakly efficient.

Keywords: East Asia real estate; Market timing; Technical analysis; Trading indicators; Market efficiency

原文链接：

https://www.sciencedirect.com/science/article/pii/S0927538X17303190

翻译：施懿