Spurious Regressions in Technical Trading: Momentum or Contrarian?


新谷元嗣 (Vanderbilt University)
  1. MMDSについて
  2. MMDSの教員・組織
  3. MMDSで学びたい方へ
  4. カリキュラム
  5. MMDSの活動

  6. 学内向け情報

大証寄附研究部門セミナーシリーズ
Spurious Regressions in Technical Trading: Momentum or Contrarian?

新谷元嗣 (Vanderbilt University)

This paper investigates the spurious effect in forecasting asset returns when signals from technical trading rules are used as predictors. Against economic intuition, the simulation result shows that, even if past information has non predictive power, buy or sell signals based on the difference between the short-period and long-period moving averages of past asset prices can be statistically significant when the forecast horizon is relatively long. The theory implies that both 'momentum' and 'contrarian' strategies can be falsely supported, while the probability of obtaining each result depends on the type of the test statistics employed. Several modifications to these test statistics are considered for the purpose of avoiding spurious regressions. They are applied to the stock market index and the foreign exchange rate in order to reconsider the predictive power of technical trading rules.

講 師:
新谷元嗣 (Vanderbilt University)
テーマ:
Spurious Regressions in Technical Trading: Momentum or Contrarian?
日 時:
2008年08月01日(金)16:20-17:50
場 所:
大阪大学基礎工学研究科G509
参加費:
無料
アクセス:
会場までのアクセスは下記URLをご参照ください。
http://www.es.osaka-u.ac.jp/access/
お問い合せ:
本ウェブサイトの「お問い合せ」のページをご参照ください。