Volume Information and the Profitability of Technical Trading

摘要

Past studies have employed market indices to gauge the usefulness of technical trading, disclosing an enigma concerning the technical trading of individual stocks. We, for the first time, applied technical trading rules to each and every stock listed in an emerging equity market. We controlled the vast data set by share turnover that signifies trading volume information. Blending price and volume information, we observed that variable-length moving averages (VMAs) generally outperform the buy-and-hold strategy. VMAs, however, beat the equity market index only for less liquid stocks. Notably, the profitability of VMAs decreases with share turnover, indicating a possible liquidity effect on the profitability of technical trading.