An econometric investigation of technical analysis as a portfolio selection strategy in Australia

将技术分析作为澳大利亚投资组合选择策略的计量经济学调查

• 批准号: LP0561082
• 负责人: Prof Aubrey Hurn
• 金额: $ 1.79万
• 依托单位: Queensland University of Technology
• 依托单位国家: 澳大利亚
• 项目类别: Linkage Projects
• 财政年份: 2005
• 资助国家: 澳大利亚
• 起止时间: 2005-08-10 至 2007-12-31
• 项目状态: 已结题
• 来源: https://dataportal.arc.gov.au/RGS/Web/Grants/LP0561082
• 关键词: econometric; investigation; technical; analysis; portfolio

This project will provide an in-depth analysis of the returns of portfolios of Australian equities formed by using technical trading rules. The research will determine whether or not any abnormal returns earned by these means are attributable to firm-specific or market-wide factors. This project represents the first attempt to interpret technical analysis in a portfolio framework and will provide valuable information on the informational efficiency of Australian capital markets. As there is currently no single definitive study of technical analysis in Australia, this project will fill a significant void in the current academic literature and provide evidence of great practical relevance to Australian investment practitioners.

该项目将对使用技术交易规则形成的澳大利亚股票投资组合的回报进行深入分析。研究将确定通过这些手段获得的任何异常回报是否归因于公司特定或市场范围的因素。该项目代表了在投资组合框架中解释技术分析的第一次尝试，并将提供有关澳大利亚资本市场信息效率的宝贵信息。由于目前澳大利亚还没有一项关于技术分析的权威研究，本项目将填补目前学术文献中的一个重大空白，并为澳大利亚投资从业者提供具有重大实际意义的证据。