Wang, Zhigang; Zeng, Yong; Pan, Heping; Li, Ping - In: New Mathematics and Natural Computation (NMNC) 07 (2011) 02, pp. 267-279
This paper investigates the predictability of moving average rules for the China stock market. We find that buy signals generate higher returns and less volatility, while returns following sell signals are negative and more volatile. Moreover, the bootstrapping results indicate that the...