Abstract
Technical analysis in stock market seems to be helpful for investors to survive the financial crisis. To verify this point, we try to explore whether the moving average (MA) strategy is related to the investment performance. Here we apply the Golden Cross (Death Cross), a technical indicator signalling the time to buy (sell) when the short term moving average crosses above (below) the long term moving average, to 400 listed firms in the Taiwan stock market based on the approach of [8]. We find that Golden Cross (Death Cross) is positively (negatively) related to stock returns. However, the occurrences of Golden Cross and Death Cross before and after financial crisis are not significantly related to stock returns.
Access this chapter
Tax calculation will be finalised at checkout
Purchases are for personal use only
References
Brock, W., Lakonishok, J., LeBaron, B.: Simple technical trading rules and the stochastic properties of stock returns. J. Finan. 47(5), 1731–1764 (1992)
Chen, P.-C.: An empirical study of technical analysis, stop profits and stop loss trading strategies -using the Taiwan stocks as examples. Master’s thesis (2013)
Chong, T.T.-L., Li, E.H.-T., Kong, K.T.-K.: Are trading rules profitable in exchange-traded funds. Technol. Investment 2, 129–133 (2011)
Chou, Y.-F., Liu, P.-H.: The cross section of expected returns in Taiwan: characteristics, single factor, or multi factors? Rev. Secur. Futures Markets 45, 1–32 (2000)
Edward, R.D.: Technical Analysis of Stock Trend. Taylor & Francis Inc., Boca Raton (1997)
Fama, E.F., French, K.R.: The cross-section of expected stock returns. J. Finance 47(2), 427–465 (1992)
Fama, E.F., French, K.R.: Common risk factors in the returns on stocks and bonds. J. Finan. Econ. 33(1), 3–56 (1993)
Fama, E.F., MacBeth, J.D.: Risk, return, and equilibrium: empirical tests. J. Polit. Econ. 81(3), 607–636 (1973)
Fang, W.: Stock return process and expected depreciation over the Asian financial crisis. Appl. Econ. 33(7), 905–912 (2001)
Fischer, R.J., Jordan, D.E.: Security Analysis and Portfolio Management. McGraw Hill, New York (1991)
Gunasekarage, A., Power, D.M.: The profitability of moving average trading rules in South Asian stock markets. Emerg. Markets Rev. 2(1), 17–33 (2001)
Hudson, R., Dempsey, M., Keasey, K.: A note on the weak form efficiency of capital markets: the application of simple technical trading rules to UK stock prices - 1935 to 1994. J. Bank. Finance 20(6), 1121–1132 (1996)
Pruitt, S.W., Tse, K.M., White, R.E.: The CRISMA trading system. J. Portfolio Manag. 18(3), 22–25 (1992)
Ratner, M., Leal, R.P.: Tests of technical trading strategies in the emerging equity markets of Latin America and Asia. J. Bank. Finan. 23(12), 1887–1905 (1999)
Tsai, S.-F., Wu, Y.-T.: Impact of the financial crisis on the returns and volatility of the Taiwan region’s stock market. Soochow J. Econ. Bus. 81, 69–93 (2013)
Tsang, T.T.L., Chong, W.W.H.: Profitability of the on-balance volume indicator. Econ. Bull. 29, 2424–2431 (2009)
Yang, J.-W.: Technical analysis on the effectiveness of Chong - an empirical analysis of Taiwan stock market. Master’s thesis (2000)
Author information
Authors and Affiliations
Corresponding author
Editor information
Editors and Affiliations
Rights and permissions
Copyright information
© 2018 Springer International Publishing AG
About this paper
Cite this paper
Tsai, YS., Chang, CP., Tzang, SW. (2018). The Impact of Golden Cross and Death Cross Frequency on Stock Returns in Pre- and Post-financial Crisis. In: Barolli, L., Enokido, T. (eds) Innovative Mobile and Internet Services in Ubiquitous Computing . IMIS 2017. Advances in Intelligent Systems and Computing, vol 612. Springer, Cham. https://doi.org/10.1007/978-3-319-61542-4_70
Download citation
DOI: https://doi.org/10.1007/978-3-319-61542-4_70
Published:
Publisher Name: Springer, Cham
Print ISBN: 978-3-319-61541-7
Online ISBN: 978-3-319-61542-4
eBook Packages: EngineeringEngineering (R0)